netbeans.exe is the Windows launcher for NetBeans. Basically it assembles the class path string for starting up NetBeans, passes the command line arguments, etc., and launches Java with those arguments.
The main reasons for the exe are:
It's nothing terribly exciting, it's just a small C++ app; the sources are in ide/launcher.
There are actually two executables - nb.exe and netbeans.exe. netbeans.exe will suppress the console window (so you won't see any logging on the command line); nb.exe will show the command line. Under the hood, netbeans.exe invokes nb.exe (so don't rename it).