Is it possible to run an .exe file from a CLR function? Is it possible to run an .exe from CLR function with Sybase SQL Anywhere 12? 

If yes then I thought about link this function and .exe with pipes, is it a good idea or do you have better ideas? If not then thanks for your time.
You can use xp_cmdshell for doing this.

As a little example from documentation: 

CALL xp_cmdshell( 'dir &gt; c:\\temp.txt' );


But take care: It's not possible to get e.g. STDOUT back into your database without output redirection.