>Is it possible to use a server-side include to run a .exe file every time the page is loaded?

Yes, if your Web server supports it.

Usually, this is not on by default. You have to go in your Web server configuration to tell it to process SSI if you include some in your page.

Of course, this will slow down the server, because each page has to pass in this SSI validation first to see if there is some code to take care of before showing the page to the user.