How to block .exe download?

Hi Darshan, try using the file filter function of DLP More info on its configuration can be found on page 116 of the handbook http://docs.fortinet.com/fgt/handbook/50/fortigate-utm-50.pdf

What version of software are you running? Is it version 4 mr3? If so have a look at the UTM guide for this version http://docs.fortinet.com/fgt/handbook/40mr3/fortigate-utm-40-mr3.pdf The archive of guides for earlier releases can be found here http://docs.fortinet.com/fgt.html

Its MR2.... How can i update to MR3???

The firmware can be downloaded from https://support.fortinet.com/ under the download section. I highly recommend reviewing the release notes for the supported upgrade path