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Is it possible to run a U3 file as a EXE file
No is the simple answer.
The answer you want is more complex.
U3 software packages are normally distributed in a *.u3p package
[sometimes the software package is within a .exe installer but that just complicates it]
The .u3p package is a simple .zip file that is given an extension that indicates to the U3 LaunchPad [menu] that what it contains is laid out in a way that the LaunchPad understands and can install.
If you change the .u3p extension to .zip you can explore [and extract] the contents as you could any other .zip
The complexity comes in at this point in how the software was designed.
If the software was [fairly] portable to begin and just packaged to show up on the menu you may be able to extract it and use it without the LaunchPad.
If the software was designed to require the LaunchPad and the U3 platform to start with you will not.
In either case you may lose the portability of the app if it's cleanup functions are disturbed by being run without the LaunchPad or file setups [e.g. the app may run but leave things behind that would have been cleaned up when run as intended]
I have extracted several apps this way, some work fine, some kinda work, some don't work at all. It's a matter of trial and error to find out which.
Things have got to get better, they can't get worse, or can they?