From your clarification, you need to inform your http server to treat your .exe as CGI. It might be as simple as renaming it to .cgi extension, or you may need to 'AddHandler ...' in .htaccess.

The idea of uploading the .exe to every client is a non-starter. Aside from no sane client letting you do that, the bandwidth cost would eat the cpu time savings. That is the^Wone flaw in the Java applet idea. A faster server may be the real fix.

After Compline,
Zaxo