A: There can be several reasons why they won't run, and I'm going to give you the basic steps. If nothing of this helps, please ask with more details.
.NET(.exe) files: It would probably be because you don't have installed the required .NET Frameworks. Make sure to download them from Microsoft's pages!
Java Files(.jar): The main reason Java programs won't work, are you don't have the latest version of Java installed! Now, go and get it! www.Java.com
.NET(.exe): I recommend the software called "winebottler", which enables the use of windows based software!. Remember to download the latest .NET Frameworks from Microsoft's pages.
Java Files(.jar): Sun and Apple have been co-operating with porting Java for Mac in the past. Which meant Java was installed by default on the Mac systems. However, Oracle bought up Java from Sun. Apple and Oracle doesn't work together. This means Oracle have to update Java for every new update by Apple themselves, and it will take some time. The new operating system Maverick doesn't have Java installed by default, but oracle have recently (26.03.2014) updated Java to your version. Now, go and grab the new Java version at www.Java.com! Also, check if your Mac have blocked the software from running, and disable the lock.