Re: Trouble with .exe's
How did you download Urban Terror? If you can, you should download it from a PPA as it will automatically download all the necessary dependencies too.
The error message you are getting says that your computer is missing one of the dependencies necessary to make the program run. You'll need to look in the Ubuntu repositories for a package that might provide "libQtGui" - a quick look yielded "libqt4-gui" for me, this may be the correct one.
Once the package is installed, you'll either be able to run the program now, or running it will show another message similar to the one you've just got saying that it's missing something else.
TL;DR: Try looking for a PPA that contains Urban Terror as it will do all this for you.
By the way, your thread title is not really descriptive; ".exe" is the Windows program format, not the Linux program format.
I try to treat the cause, not the symptom. I avoid the terminal in instructions, unless it's easier or necessary. My instructions will work within the Ubuntu system, instead of breaking or subverting it. Those are the three guarantees to the helpee.