pixel perfick you'd have to run the actual exported executable in order for this to work, and any additional executables that are called would have to either be downloaded through the app or run from the folder. A capx couldn't call an exe.
If you're worried about viruses/trojans/etc., any file will have to first get through your anti-virus anyway.
The solution is pretty simple: don't run executables that you don't trust - the same goes for anything you download from the Internet.
PS: A perfectly innocent reason for wanting to do this would be to create a launcher app that checks for updated versions of the game before going into the game itself.