SandBlast extension could block specific file type to be downloaded at all.
It could be either Standalone extension which is managed from gateway or extension installed as part of Threat Extraction and Emulation (TE) blade.
TE blade it is controlled in the following way:
SmartEndpoint -> Policy Tab -> "Threat Extraction and Emulation" section -> Protect web download with Threat Emulation.
Right-click and select "Edit shared action", now click on "Override default file action per file type".
Ther you can set for EXE - Block Download.