Everytime I run this one program (.exe) it opens Firefox. Is there anyway to prevent this from happening?
It's hard to give you an answer with as little info as you're giving. but one possibility might be autoruns:
It can help you by being able to disable just about any auto running program. you might have to dig around a little bit to find the right check box (there are a lot of them).
The other possibility is you can go into control panel -> default programs -> set associations. whence there, check to make sure that .exe isn't associated with Firefox for some odd odd reason.