Archived files ending in .exe are usually self-extracting. Since this didn't work in Windows you might try it in DOS to see if that works. It's also possible that the file is corrupted, and especially so since KaZaa isn't the most reliable of sources.
As far as the structure of the file, if it is a valid image file the freeware isoBuster
will let you view and extract image files to your hard drive. isoBuster will usually work for identifying unknown image types.
Another freeware utility that is useful for image files is CDmage