cf.exe

Are you sure you even have the right download?

http://crossfire.z8games.com/downloads2.aspx

Select one of those mirrors.
Download the Crossfire Installation Client. Run it as administrator.
Go threw the installation of the game.
Afterwards you will most likely find crossfire.exe in C:\programsandFiles(x86)\z8games\crossfire - or just C:\programsandfiles\z8games\crossfire

Proper Removal and Installation Below:

Utilize the program CCleaner to uninstall crossfire, and clean out the registry of its existence.

Delete the Crossfire Folder in MyDocuments.
Delete the Z8games Folder in C:\ProgramsandFiles(x86) - or just C:\ProgramsandFiles

[Optional]

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Find Run.exe on your computer - RUN.
Type in: msconfig
Select the Services Tab, check "Hide all Microsoft Services", everything that appears in the list needs to be unchecked.
Now select the Startup Tab and uncheck everything.
Next, select Apply and click ok. Restart the computer.

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Restart The Computer.

Turn off all AntiVirus/the Firewall.

Download a new Install Client from Z8games, install the game. Run it as Administrator.

If the above fails, we'll get into the router settings.