.exe files are Windows executable files. They will not run on Linux.

The only difference between Ubuntu and Kubuntu is that by default Ubuntu comes with the Gnome Desktop and gnome apps and Kubuntu comes with the K Desktop Environment and KDE apps.

If you can't find out what chipset your wireless adapter has and find a ubuntu or kubuntu guide on how to connect it to your router successfully on the ubuntu forums, then yes a wired option should work and is the quickest and most simple solution.

You need to install a program called wine to run .exe files on Linux and it will be available for installation in kubuntu's software installer, which can be found if you explore the k menu on the task bar of the desktop.
I then recommend you read the documentation for wine (Probably from /usr/share/doc/wine/) And have a copy of Win XP or Vista installed somewhere. You may need to "Borrow" Some .dll files from your Windows installation in order to get some programs going on wine.

You do not have to connect to the net to update your system but it helps. You can download a release cd every time a new one comes out, burn it to disc and then use it to update your installed system by booting the computer from it.
Using a net connection to update is usually the easiest and faster method to update normally.

Ubuntu uses gnome as the primary desktop :
http://www.gnome.org/

kubuntu uses kde as the primary desktop :
http://www.kde.org/

The desktop is the only real major difference and they are both two slightly different versions of the same distribution.
Both are derived from debian :
http://www.debian.org/

It's your choice whether gnome or kde suits you best, I suggest trying them both.

You may also instead like to download a Mandriva One cd for a real kde experience along with a greater chance that your wireless will work right off the bat.
You can get it here :
http://www.mandriva.com/en/download/free