There is no operating system that I know of that you can add an exe to a execute file such as Trainz.exe changing it to trains.exe.exe and expect it to run like trains.exe. It won't happen. That is why it is imperative that windows explorer be set up properly to show extensions.
All should; certainly XP and older can. Just tested it myself with Winrar. I could double-click on WinRAR.EXE.EXE and it ran just fine, even with extensions hidden. It even runs from the command line, but you have to add in the extra .EXE i.e. winrar.exe.exe runs by typing winrar.exe.