If I just enter EXE or .EXE, they just .EXE Files show. If I enter (\.exe)$, then the files disappear until I remove this manual Filter.
This isn't what I'm talking about.
Load up the post list. Where it says "Filter Profile" (4th drop down, second line from the left), drop the drop down and select the filter.
(\.avi|\.bat|\.com|\.exe|\.flv|\.html?|\.jpe?g\.mpe?g|\.mov|\.pif|\.scr|\.wmv|\.zip)$
Dex pointed out this filter won't work. Not in "Subjects" mode.
This filter says "match these extensions IF they appear at the absolute end of the line". That's not what you want in a subject filter most of the time extensions are followed by quotes and more text.
(\.avi|\.bat|\.com|\.exe|\.flv|\.html?|\.jpe?g\.mpe?g|\.mov|\.pif|\.scr|\.wmv|\.zip)
Should work for a subject filter.