Thank you Carmar
But PlayOnLinux doesn't work for me, I know it, but I can't be adding each exe to PlayOnLinux, think that in programming, you have to program and run the EXE to see if it works.
In Debian this window doesn't appear, and I don't remember that other distros also executed it directly for me, I think it's more about setting permissions or something else.
If it is for an installation of a program, nothing happens, but if it is to test the executables that you compile when you program, it is annoying to have to accept each time.