How can I install an .exe file (Avast Internet security) in Ubuntu? [duplicate]

I cannot find a way to install Avast Internet Security 6.0.1367.exe from the exe file directly.

Install Windows.

You are using Ubuntu, not Windows so please have a look at this link for Avast Linux. You need to add their repository:

sudo echo "deb http://deb.avast.com/lin/repo debian release" >> /etc/apt/sources.list
sudo apt-key add /path/to/avast.gpg
sudo apt-get update

and then you can install it...

sudo apt-get install avast
sudo apt-get install avast-fss
sudo apt-get install avast-proxy

You do need an account and a license:

How to insert a license file to Avast Security for Linux?

The access to the program repositories is not restricted in any way, you can always obtain all the latest packages, but for running the components, a license file is required. The license for the products comes in the form of a file named license.avastlic. After obtaining the license file, copy it into the /etc/avast directory:

sudo cp /path/to/license.avastlic /etc/avast 

Mind though: being smart is far more important than to rely on 3rd party software. THEIR interest is making money of your paranoia. Nothing more. Use on-line mail (so downloads stay on-line and the mail provider will scan your mails for you) and do not download/install software from random sites (we use Software Center) and there is no need for this kind of software.

While it's possible to install and run many Windows applications in Ubuntu through the WINE compatibility layer, anti-virus software is not among them on principle because it's tied tightly to features¹ of Windows that WINE doesn't emulate and never will.

There are native anti-virus solutions as outlined in “What antivirus programs are available?” but it's debatable to what extent Linux systems benefit from them.²

¹ Meaning particular programming interfaces (sometimes even private ones) and implementation details, not practical functionality that other operating systems lack.

² taken from karel’s comments