Open a Executable from Caché

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You should use $zf(-100) to execute the operating system command to run the EXE. There are examples of running .EXE files in that documentation.

I saw this command, but I have a problem, this application .Exe open a Windows Form, with this command don't open.

As you say:  your .EXE is on the server and NOT on the CLIENT.

Some terminal emulators (e.g. KEA) once had the feature to launch a LOCAL command triggered by an ESC sequence.
But this requires your .EXE to be already installed on your LOCAL client.

You may need to have a telnet or SSH connection to your client.

Browsers typically don't allow this. But they may run JavaScript (which isn't  your .EXE)