Yes. It's possible. However, I would suggest that you store the exe file directly on the file system (in a folder) and simply store the path to the file in the database.
If you insist on storing the file in the database, you'll want to use a varbinary(max) data type and do some research on streaming data to and from SQL Server.
-George
Microsoft SQL Server MVP My Blogs SQLCop
"The great things about standards is that there are so many to choose from." - Fortune Cookie Wisdom
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