Are you saying that you are having trouble inserting into a web page a link to a file that happens to have a .exe extension?
If that is the case, then take one step back. Imagine the file has a .htm extension, or a .css extension. How can you make that downloadable? If it is a static link, then the answer is clear: the file needs to be in the docroot for the ASP.NET app. IIS + ASP.NET serves up many kinds of content: .htm files, .css files, .js files, image files, implicitly. All these files are somewhere under the docroot, which by default is c:\inetpub\wwwroot, but for your webapp is surely something different. The fact that the file you want to expose has an .exe extension does not change the basic laws of IIS physics. The exe has to live under the docroot. The network share thing might work for some browsers.
The alternative of course is to dynamically write the content of the file directly to the Response.OutputStream. This way you don't need the .exe to be in your docroot, but it is not a direct download link. In this scenario, the file might be downloaded by a button click.
Something like this:
Response.Clear();
string FullPathFilename = "\\\\server\\share\\CorpApp1.exe";
string archiveName= System.IO.Path.GetFileName(FullPathFilename);
Response.ContentType = "application/octet-stream";
Response.AddHeader("content-disposition", "filename=" + archiveName);
Response.TransmitFile(FullPathFilename);
Response.End();