No .exe is created but .app's are?

Maybe it's just because I'm trying to create the .exe on a Mac, but I can't get a .exe to show up when I create a build for the Windows platform. If I create a build for Mac a .app shows up in the build folder and I can play the game by clicking on it. If I make a build for Windows everything in the build folder is the same as the Mac(i.e. common folder, game folder, all the .dso's) but no .exe.

Is there something I'm missing when I create a build for Windows?