Linux cannot use .exe files nativelly. If you want to use a Windows program or a game, you must use a program called WINE.
To install it type in terminal
yum install wine. If it tells you that it is not available or something like this then read
AdditionalResources/Repositories - CentOS Wiki .. then enable RPMforge repo.
Is this BF2 a game? If you don't want to use this PC as a server, CentOS is not the best choise for you as it is not very user friendly compared to other distributions. You should try Ubuntu, Fedora or some other user user friendly distribution.