I was wondering if there is any software around that can convert .exe files to .dmg files
The only time it would help to do that would be if the .exe file was a self expanding Zip archive. And then only if the contents were even usable on a Mac.
.exe files are a Windows executable. A program in other words. Unless you're running Windows in an emulator such as Parallels or Virtual PC, they won't do you a bit of good.
If you could even find a program to decompile (reverse engineer) an .exe file and recompile for the Mac OS, it would be illegal to do so most of the time. Pretty much any commercial software forbids such action.
Also, quite a bit of .exe files you may download are installer programs for Windows. So it would produce yet more .dll, .exe and other Windows-centric files.

Hi raptile
EXE files are windows programs. The same thing on Macs are called Applications.
A .dmg (diskimage) is just a bundle of software, it is not an Application, but may contain applications as well as other software.
So no you cannot convert an .exe file to any form, including .dmg that will run on your Mac.
.exe's are exclusively Windows software.
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regards roam