Installing windows 8 using bootcamp or virtual box
With just having an .exe file you'll need to run that under Windows to create either an USB Installer or an ISO Image or both as they can be used for either Boot Camp or in a VM using VMware Fusion, Parallels Desktop or VirtualBox.

To install in a VM you can use an ISO Image.

To install using Boot Camp Assistant and creating a USB Installer you need an ISO Image to create the USB Installer if the one created under Windows will not work.

If your Mac has an Optical Drive a DVD can be used, creating it from the ISO Image.