.exe playable but not downloadable possible?

You can look up about SMF or SMF 2 or both on Google search engine or any other search engine or both.

Is it possible for a .exe file to be playable without being downloaded, downloadable etc. just like SMF and also SMF 2 are playable without being downloaded, downloadable etc. and if so how?

SMF link: Super Mario Flash (http://www.pouetpu-games.com/index.php?section=2&game_id=1&w=640&h=480)

SMF 2 link: Super Mario Flash 2 (http://www.pouetpu-games.com/index.php?section=2&game_id=2&w=640&h=480)

at some point the .exe will have to be downloaded (silently, temporarily, in the background, etc) to install as a plugin/extension/etc for your browser to play online.

SMF works because it’s created with Adobe Flash technology.
Your browsers or your system is already installed with Flash.
You would have to download and install Flash.

Doesn’t matter if you use a web-downloader or not.

When installed, Flash will download files to install Flash on your system.
These files can be found in temp folders.
Possibly up to 3 different temp folders to look in.

You will always have to download something to install or use something.
It’s tomfoolery to think you are or will ever be safe.

If you are absolutely paranoid, stick to security-based web browsers: Comodo Dragon, Sandboxie (it will allow you to run your web browser in a "virtual machine" state where nothing is saved after you are done, but you must remember to "delete contents" of the sandbox), etc.

You can even setup PORTABLE web browsers to run off a USB thumb stick or flash card.
You can even change the settings to disable any sort of caching or installing of third-party products (note that this might disable some internet functionality such as "Can I Run This Game" and "Autodetect my hardware" for HP, Intel, Nvidia, etc — as well as "Verify my Java").

What executable gaming applications are you particularly wanting to play?
Someone may have converted it to a web-based game already.

Furthermore, why would you want to further raise the risk of having exe’s run from a website?
There’s plenty of viruses and malware as it is, this would pose further risks than what is already available from Flash and Java-based sites. ๏̯͡๏﴿