Didn't I answer one of these already...?
Anyway! Mine's kind of a long story... but waaay back in the wee-days of my forum-going, one of my first screen names that stuck was "Death Guardian". Auugh it sounds so cliche and horrid now, but everyone knew it and apparently were too lazy to type that all out...
So they shortened it on the forum I went to as "DG". It stuck. Over the years I grew away from "Death Guardian" and folks began to simply know me as "DG" instead to the point where the former name was nearly obliterated. I can only think of one place I actively go that still uses "Death Guardian" or some variation.
Now, the "exe" part... well, that spawned from the fact that I, at one point, was a huge Megaman/Rockman Battle Network fan and thus thought it OH SO LOVELY to stick "exe" on the end of "DG". The obligatory period is missing due to the fact that my first ever usage of "DGexe" was on AIM and AIM doesn't allow a period to be used in such a manner. >:I
So there you go. DGexe just "stuck" as my screen name.