Differences in .EXE in .NET vs Microsoft programs

The main difference is that an 'unmanaged' exe consists of native code for the platform in question which (broadly speaking) executes without further ado.

In contrast, a .NET exe consist of intermediate language (MSIL) and metadata. 

When the .NET exe is run, the common language runtime (CLR) is loaded which manages the execution of the program. In particular, it converts the MSIL to native code 'on the fly' - a process known as 'just in time' compilation - and then executes the native code.