Err... The source code is likely to be thousands of files, referencing eachother. The exe is the compiled code (including the game engine, code for showing menus, copy protection etc), sometimes along with DLLs (Dynamically Linked Libraries), JARs (Java ARchives), SO (Shared Objects), ActiveX or whatever it's called on the operating system and programming language in question.

Every other file is data, loaded by the executable. Taking RTW as an example, RomeTW.exe is the compiled code. Among other libraries it uses mss32.dll, which is the Miles Sound System packaged for inclusion anywhere (you'll see this in many other games too). It also has a number of configuration files such as preferences.txt and version.inf. And a whole lot of data files, which you can see under Data.

Anyway, the original question has been answered, and I won't explain more of the composition of computer programs. You can spend some time on online tutorials instead if you want to know more about how it works or learn how to do it yourself.