MIT/GNU Scheme has two major parts: the "microcode", written in C, and everything else written in Scheme.
The unix distribution contains pre-compiled Scheme files, which depend only on the processor architecture and not the operating system.
It also contains C source files, which depend on the operating system and must be compiled using the C compiler that comes with the OS.
The instructions walk you through the process of compiling the C code. The final step of installation copies all of the compiled files, both C and Scheme, to standard directories in /usr/local.
I don't understand why you mention .exe files since that's a windows executable and not something to use on unix. If you're trying to install on windows you can't use the unix distribution. For windows, download and install the windows binary.