I understand that each CPU/architecture has it's own instruction set, therefore a program(binary) written for a specific CPU cannot run on another. But what i don't really understand is why an executable file (binary like .exe for instance) cannot run on Linux but can run on windows even on the very same machine.
This is a basic question, and the answer i'm expecting is that .exe and other binary formats are probably not Raw machine instructions but they contain some data that is operating system dependent. If this is true, then what this OS dependent data is like? and as an example what is the format of an .exe file and the difference between it and Linux executables?
Is there a source i can get brief and detailed information about this?
In order to do something meaningful, applications will need to interface with the OS. Since system calls and user-space infrastructure look fundamentally different on Windows and Unix/Linux, having different formats for executable programs is the smallest trouble. It's the program logic that would need to be changed.
(You might argue that this is meaningless if you have a program that solely depends on standardized components, for example the C runtime library. This is theoretically true - but irrelevant for most applications since they are forced to use OS-dependent stuff).
The other differences between Windows PE (EXE,DLL,..) files and Linux ELF binaries are related to the different image loaders and some design characteristics of both OSs. For example on Linux a separate program is used to resolve external library imports while this functionality is built-in on Windows. Another example: Linux shared libraries function differently than DLLs on Windows. Not to mention that both formats are optimized to enable the respective OS kernels to load programs as quick as possible.
Emulators like Wine try to fill the gap (and actually prove that the biggest problem is not the binary format but rather the OS interface!).