Log into your Office 365 organization with an Admin account.
Click on the Admin in the upper right hand corner and select Exchange. Go to Mail Flow on the left, make sure you are on Rules
Click the + to Create New Rule. Name it Block EXE or something you’ll understand
Click the More Options… link.
In the Apply this rule if… drop down select Any attachment has executable content
In the Do the following… drop down select Block the message -> Reject the message with the explanation… and type in Attachment contains an executable. This will trigger a Transport Rule response to the sender with that explanation.
Leave the Audit this rule with severity level: checked drop down as is (Not specified).
Choose a mode for this rule: radio button should be on Enforce.
Now click Save. and you should see the rule detail on the right.