Perhaps the file is in fact corrupted. Please browse to http://www.axantum.com/AxCrypt/Downloads.aspx and then chose the ‘AxDecrypt.exe’ download you’ll find there. That’s actually the exact same software that’s part of the self-decrypting exe, just without any payload. It, however, has the capability to decrypt another file even when it’s an ‘exe’.
It has a very sparse user interface, but if it runs ok, use the File | Open menu, then select “*.exe” as the file type to open and then find and select the file you’re trying to decrypt, and then click ‘Decrypt’.
Ok, that means that your computer is able to run the software. It should have been able to run the encrypted file as well – unless it’s very, very large… Is it over 2Gb? In that case, it’s not corrupted, just too large to run and you’ll be able to decrypt it fine with AxDecrypt if you have the correct password.