Simply changing the extension from .exe to .dmg will not work because the underlying code remains written for Windows, which macOS cannot read natively. Can You Use an Online Converter?

Before attempting a conversion, it is important to understand why these files aren't directly interchangeable.

This guide explains the technical differences between these formats and the best ways to get Windows software running on your macOS system. The Difference Between EXE and DMG

Do not use online converters for this task. They are generally ineffective and potentially unsafe. Best Alternatives to Run EXE Files on Mac