You can block download from DLP. you can specify all file extension (i.e. .exe,). Please follow below steps to do it (For ver 5.0)
Go to Security Profile > DLP > file filter > Create new > Name > specify all file pattern > go to sensor > create new profile > create new > select file and then specify > select the e-mail protocol > then apply to policy.
The Fortinet Security Fabric brings together the concepts of convergence and consolidation to provide comprehensive cybersecurity protection for all users, devices, and applications and across all network edges.