I just had a random prompt telling me if I want to run an .exe file and I have no idea where it came from. Is there some sort of history record I can look out?
Don't run it if you don't know what it is. Most likely you downloaded it by mistake as you'll not be prompted to run a windows .exe
You could right click on it and look at properties - that may tell you something but I suggest you run a quick scan with https://www.malwarebytes.org/antimalware/ to be safe.