It can install a virus, or it could surreptitiously give control to anyone in the world via the Net. The effects of this may be disastrous - for a personal computer at home or even more so for a computer at a workplace. Files could be deleted, altered or sent to someone anywhere it the world. An executable program could install something which deletes everything off the hard drive a few months later. The fact that one person runs a program and notices no problems is no proof at all that the program is in fact benign.
Most people have no idea about computer security at all.
So they have no idea how dangerous it is to run executable programs which they cannot be certain are benign. If run on a Windows machine, it produces a fireworks display. Secretly, it modifies the computer's Internet software so that every email or Usenet newsgroup posting made from that computer is accompanied by a second similarly addressed email or Usenet posting with the program attached. Thus the attacker, who could be anywhere in the world, and probably using a someone else's machine which they have gained control of, can read any of your files, alter them, delete them, upload new files, including executable programs and run them - all without you knowing. They can also send your keystrokes and screen images to the attacker, open and close the CD-ROM drive's tray, reboot the computer etc.