Nothing on OSX is ever named .exe.

On OSX building and installing Python with "configure 
--enable-framework" installs an executable just called 'python' in 
/Library/Frameworks/Python.framework/Versions/3.1/bin (using 3.1 as 
an example). It also creates double-clickable applications whose real 
name is Python.app and IDLE.app.  Whether to see the .app extensions 
on "packages" that are applications is a Finder preference, so most 
users won't see the .app.

If the build was configured without frameworks, then an executable 
named in the Unix style -- just python -- is installed in 
/usr/local/bin (by default) or wherever else was specified with the 
configure --prefix option.
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         --- Mitchell