The specifics of this will probably depend on the OS of the Server that your Oracle database is running on.
If you're running on Windows then this may help you:
The same concept of using DBMS Scheduler also works on Linux or Unix as well.
You NORMALLY would NOT want to call a local application from within an APEX application. That is the safety offered by your browser to make sure BAD type applications don't have too much access to your local machine...
I believe there are some VBscripts you CAN run through your application, but to be honest, any developer I work with who would develop such things in APEX unless under some VERY tight security constraints, would NOT be working here too much longer..
What is the use case for such a situation? Normally, like what was posted earlier, you can build a OS job to run via the dbms_scheduler..
How to invoke or call some exe files like word or yahoo messenger from oracle apex ?
Apex is a set of PL/SQL suite of packages and procedures, with tables and so on. This code is called from a web server (e.g. Apache runing mod_plsql) via standard Oracle client-server. The code executes INSIDE the database. The codes creates a HTML buffer. This buffer is read by the web server component that made the call. And send to the web (browser) client.
That is first and foremost fundamental to understand about Apex.
Within this context - where is this executable file to be loaded, with which parameters, by whom, and where, to do what exactly?
It is very dangerous to allow a web browser to execute a local program. This was used in the old days (and still is) to deliver a worm/virus/trojan to your local browser cache, and then execute that program as it is "safe" because it is a local program.
One of the reasons, that browser caches are now treated as untrusted contents (as that is what they contain - internet garbage mostly).
I have never tried to execute a local program via the browser - I suspect a protocol handler will need to be configured to allow that.
Whatever the case may be, it is a HORRIBLY FLAWED idea to do what you want to do. So don't!
There are alternatives to using the messenger.exe client.. Is your purpose to allow users to message each other while using the product?