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that's simply because by default, Windows does not show extensions of the files. It's irrelevant if you see a .exe file or not, just copy and paste the no-cd file into the default MOHAA directory where there's a bunch of other files, including mohaa.exe (I can't remember what it's called, I'm just guessing). If you're still confused, go to My Computer, Tools, Folder Options, click the View tab, and uncheck "Hide extensions for known file types." Hit OK, and go back to the MOHAA installation folder, and you will see the extensions for all the files.
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