Yes, Python exe is completely safe. Make sure you download it from python.org website or from legitimate source only. Then you should be good with the installation. In case you have not installed it and still, you can see in your system. Go to control panel - click on "Uninstall a program" - Then check for Python software installation. If it is visible there and you don't want, you can uninstall it. If you don't found it in programs, then it may be a virus or malware. Scan your system and remove it.