The pywin32 project has traditionally offered .exe files for installation, but this is going to stop soon.
Support for building these installers has been removed from setuptools; you can't make them with recent versions. So at some point in the future they can't be provided.
You should move to installation via pip.
pip, execute
python -m pip install pywin32
python -m pip install pywin32 --upgrade
See more in the pywin32 README