You can't run a .exe unless there is an OS to support it so you must have bootable media.
Heck, you can't even access a USB flash drive unless there is a running OS or it's bootable media.
I was able to boot the windows 10TP build 10041 USB and install using David's technique. I didn't have to do any formatting or whatever extra(USBs a fat32 default)
This screenshot should say it all. This is the USB that I extracted the Windows 10TP ISO to using 7Zip and nothing else.
I'm trying it now. Using 7-zip to extract the iso to a flash drive. Will see what happens when I try to use it from a boot.
I have a Dell Inspiron 15R 5520
Dual core Intel i3 2.4Ghz
I inserted the flash drive I expanded the iso to via 7-Zip then did a Restart.
Pressed F12 during boot and was given the Choose an option screen. It looked like this:
I clicked on Use a device and got this:
Clicked on EFI USB Device, system rebooted and started the install.
Bottom line is that this will work with a EFI BIOS, not sure about older non-EFI BIOS.
I had to see it to believe it but thanks for the information David.