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You can change icons for file types under Settings -> File Types, in the System File Types part of the list. (You may need to fully exit Opus and then re-launch it for the change to take effect in Opus.)
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If you go to Preferences / Zip & Other Archives / Zip Files you can add .exe to the zip extensions (if it isn't already; it is there by default) and then remove it from the Hide from Tree setting to make exe zip archives appear in the tree. You can then click on them in the tree to go into them.
We don't currently support opening other sfx archive types; only zip. You have to use 7-Zip or WinRAR, etc. for that.