I cannot reproduce the problem. What version of WinSCP are you using? Where exactly (what application, etc.) are you dragging the file from? Where exactly do you drop the file to? Does it happen with any EXE file? And only with EXE files?
Thanks for your report. I'll check it.
I've noticed that executable files ending in .EXE copied from a WinXP SP2 machine to a Unix server get an extra .EXE appended to their names.
For example, drag and drop app.exe into WinSCP, and the Copying dialog will display:
File: c:\path\to\app.exe.exe
Target: /path/to/remote/directory/
The copied file has an extra .exe at the end.