From my MS-SQL manual:

Executes a system procedure, a user-defined 
stored procedure, or an extended stored procedure. 
Also supports the execution of a character string 
within a Transact-SQL batch.

In general, you can ditch the "EXECUTE" when calling stored procedures. (sp_...) so you don't often see it. It's good form to use it tho, especially when you combine it with other SQL.

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