I do have one software(.exe) file which I need to run on my macbook pro. For that I need cross platform application just like wine in Ubuntu.
Can anyone suggest me the application?
There is a wine port for OS X: http://wiki.winehq.org/MacOSX
From the project page:
(Notice that Darwine, the original effort to port Wine to OS X, was primarily written for PowerPC Macs. Some work was done to support Intel Macs, but it is no longer actively developed, so you are better off avoiding it.)
There are no official Wine packages available for Intel Macs as of this writing, so you'll have to use a third-party application like WineBottler (http://winebottler.kronenberg.org/), PlayOnMac (http://www.playonmac.com/en/download.html, for Snow Leopard and Lion). or Wineskin (http://wineskin.urgesoftware.com/tiki-index.php, for Lion and Mountain Lion).
daviewales has mentioned in a comment below a package manager I didn't know of called Homebrew (http://mxcl.github.com/homebrew/). You may want to give it a try.
Otherwise you can try the commercial product CrossOver, which is basically Wine with, as Wikipedia puts it, various compatibility patches added, more user-friendly configuration tools, and commercial support.
You can download a free trial here: http://www.codeweavers.com/products/
In addition to the other answer, take a look at WineBottler: http://winebottler.kronenberg.org
This application deals with some of the technical side of using wine on OSX, like creating application profiles etc. It essentially allows you to encapsulate the .exe as a mac application, and run it natively in OSX without the need for running a virtual machine.
It is only in beta, but I have successfully used this to run various windows .exe applications under OSX 10.6.x (Snow Leopard). Be warned, not everything will work, but that is to be expected!
Havent got round to testing it yet in Mountain Lion yet as I have only just migrated. Hope this helps!
Virtual machine would be another best option for you. have a look here also -