I tend to prefer to test Web games because they are usually more quick to launch and does not require any installation.
Another reason is that you might not be safe running an EXE on your computer. The original author might have a virus/malware on his own which might have infected the game he is making, without him even noticing.
AV software is nice, but something it just doesn’t work. So I’m using the Sandboxie software which runs the EXE into a sandbox that prevent them from accessing your hard drive. Works great, and can then try the most appealing Windows games.
Download it here : http://www.sandboxie.com/