Does it make sense to request an exe with your browser? No. I suppose it could be an obfuscated link in a web page. But how does it involve java?
Upon further reflection, maybe the screen shot is the end of exploit where the java is now requesting some program to run via the browser. I believe java is allowed to make outgoing http connections to fetch data that it might need. I suppose a buggy version could fetch an exe and run it...
If you follow the link to http://malware.dontneedcoffee.com/ you can clearly see how java is involved.
caca edit? Ya gets whut ya pays fer.