I would like to download Microsoft 8 to evaluate. Why will Ubuntu not run the windows setup.exe file. Any help would be really appreciated
You wouldn't say you car wasn't "letting you" drive it if you filled it with the wrong fuel. The software you're trying to use is not designed for Ubuntu; it's designed for use on Windows. The same basic principal applies to most operating systems. The software is not simply cross-compatible.
I assume the "Microsoft 8" you're talking about is Windows 8. That is not clear but assuming I'm right, if you want to try it you'll need a plain ISO image that you can burn to CD/DVD (Brasero or k3b would be the applications you would use).
If the exe is just a downloader (like the old MSDNAA downloaders for students), you might be able to use Wine but your mileage may vary.
Again, this software is designed for use under Windows so the easiest route is going to be using a Windows machine. If you have access, and you don't want to get involved with Wine/etc, that's the easy get out.
Ubuntu hasn't stopped you from downloading anything. It has stopped you from running / installing something.
This is a bit like asking why your shiny new mp3 player can't play your grannies old gramophone records: They are both music but they are in different formats. In the same way Ubuntu is not Windows and Ubuntu and Windows do not understand each others program files.
The next option is a Virtual Machine. There are several available Virtualbox is popular and can be found in the Software Centre too. If what you have downloaded is an iso image for Windows 8 you can install this inside your Virtual machine. If its not but a Windows application instead you will need to install Windows in the Virtual machine first.
Finally you can choose to dual boot both Ubuntu and Windows but both this option and a virtual machine will require legally licensed Windows install media.
Jammy, Welcome to AskUBUNTU.com
If I understood your question well, it is simply because unless you use programs like WINE` , etc there is no way of running win32 applications on Linux kernel.
If you would like to evaluate Windows 8, install VMware and specify a virtual machine for it (i.e. 1 CPU core, 1 GB of RAM and 20 GB of Hard-Disk) to test and see how it goes for you.
Ubuntu will not run exe as it's intended to run in windows only. It's the same as you can't install a linux package(rpm,deb) in windows. Still in Ubuntu it gives you a virtual platform named Wine to run windows software but i don't anything such exists in windows to run linux software/packages.