No. It won't run for two reasons.

1) WP8 is a ARM device and doesn't use x86/x64 compatible CPU, so it can't understand the normal .EXE file. (WP8 App file comes with extension .APPX)

2) Unless your phone is connected to a Live account that has active developer license (hence unlocked), it won't run applications that's not signed with Microsoft's special e-cert.

Writing native application for WP8 is possible, just download the SDK here and have fun.