Running an .exe file step by step and monitoring its behavior is typically done through a process called “sandboxing.” Sandboxing allows you to run a program in a controlled environment where you can observe its actions without affecting your system. There are several tools and methods available for this purpose, and I’ll outline one common approach using a tool called “Process Monitor” on Windows.

Please note: Running unknown or untrusted .exe files can be risky. Make sure you are using a secure and isolated environment for this process, such as a virtual machine or a dedicated sandbox.

Here’s a step-by-step guide to running an .exe file and monitoring its behavior using Process Monitor:

Download and Install Process Monitor:
    Visit the Microsoft website or search for "Process Monitor" to download the latest version.
    Install the tool following the on-screen instructions.

Launch Process Monitor:
    Run Process Monitor after installation. You may need administrative privileges, so right-click on the program and choose "Run as administrator."

Configure Process Monitor:
    Before running your .exe file, configure Process Monitor to capture the desired events:
        In the "Filter" menu, click on "Filter..."
        In the "Filter" dialog box, you can set various filters to narrow down the captured events. You may want to focus on the process you are interested in (e.g., your .exe file).
        Click the "Add" button to add a filter.
        Set your filter conditions. For example, you can filter by the process name, path, or operation. Be specific to capture events related to your .exe file.
        Click "Add" and "OK" to apply the filter.

Run the .exe File:
    Now, run the .exe file you want to monitor. You can double-click the file or execute it from the command line.

Observe Process Monitor:
    Process Monitor will start capturing events related to the execution of your .exe file.
    You can see various information about file and registry operations, network activity, and more.
    To analyze what the program is doing, look for events related to the .exe file you are running. You can see which files it accesses, creates, or deletes.

Review Collected Data:
    Go through the captured events in Process Monitor to understand what the .exe file is doing step by step.
    Pay attention to file and registry paths, operation types (e.g., CreateFile, DeleteFile, RegQueryValue), and any errors or warnings.

Terminate the Monitoring:
    When you're done monitoring, you can stop capturing events in Process Monitor.
    In the Process Monitor window, click the "File" menu and choose "Capture Events" to stop capturing.

Save and Analyze the Log:
    You can save the log for further analysis by clicking "File" > "Save" in Process Monitor.
    Analyze the log to understand the behavior of the .exe file, including any files it created or deleted.