I think they were .exe files. The earliest loadable achieve of Electrum's download site I could load from Wayback machine goes back to May 2013 and version 1.6. It had a Windows executable in .exe format. There is also a zip archive you can download and several third-party releases.

Starting with version 1.7.3, we see similar executables as today. There is the standalone executable, a Windows installer, and a portable version. They are all in .exe format.   
The source I posted from GitHub with the earlier releases are ziped. If you are interested in checking the type of files, you'll have to download some of them to see. My guess is that they were also .exe.