Once you have a bottle, you can run the .exe file in a number of ways. (To create a bottle, select Manage Bottles from the Configure menu. Then, click the plus ('+') button in the lower left. A bottle is a virtual Windows environment.)
1) You can make the bottle your default bottle on the Advanced tab of Manage Bottles. Then, opening a .exe file with CrossOver will run it in that bottle. If CrossOver is the only application which handles .exe files, then you can just double-click the .exe file. If there are other apps, you'll have to use the Finder to configure which app you want to handle .exe files (or even each specific .exe file).
2) You can use CrossOver's Run Programs dialog, accessible from the Programs menu, to run the program in the bottle of your choice. Once you have a combination of bottle and command that works for your needs, you can save that to the Programs menu (which also creates a launcher mini-application in your Programs folder).
3) From CrossOver's File menu, you can select Open to open the .exe file. The file-selection dialog gives you the choice of which bottle to use. Your recently-opened files, including which bottle to use, are remembered for easy access.
Note that none of these requires that you copy the .exe file into the bottle. You may do that, if you wish, or if the Windows program needs to be in a specific location on the C: drive. There's a button in the Advanced tab of the Manage Bottles window to open a bottle's C: drive folder in the Finder.