Yes, in general compiled programs turn into exe files on Windows.
The difference between interpreted languages like Python and compiled languages like Nim is essentially a translation step. To run a Python script you use the Python executable which reads your script, understands the code within, and runs the commands explained. To run a Nim program you use the Nim executable which reads the program, understands the code within, but in this case outputs the instructions _to be run as an executable. You then run the executable to run the program.
The benefits of compilation are that you don't need Nim installed on the machine you want to run your program on and you save time and resources while running because the program is already understood and optimized. You don't have to understand the script and generate instructions every time you run it.