What are all these EXE files? Which ones should I use?

Names are in the format: PROGRAM-GRAPHICS-MUSIC.EXE

PROGRAM = game = for playing games
PROGRAM = custom = for making games

GRAPHICS = fb2 = FreeBasic graphics. This is the default
GRAPHICS = fb = Like fb2, but has command-line options for screen mode
GRAPHICS = alleg = Allegro Game Library

MUSIC = native = Windows MIDI with extra looping features This is the default.
MUSIC = sdl = Simple Directmedia Library
MUSIC = allegro = Allegro Game Library

If you are not sure which version to use, try the -fb2-native versions.