These days, all Windows programs are .EXE files. But back in the days of DOS, there were also .COM files.
Why no .COM files anymore?
The answer lies with the precursor of MS-DOS - CP/M.
MS-DOS was not actually written by Microsoft - IBM had tried to get CP/M for their new PC, but couldn't agree on the royalty rates. As a hedge bet, they asked Microsoft for an operating system - so Microsoft first licensed, then bought outright someone else's CP/M clone and resold it to IBM!