modding bully se, strange exe.

I was modding Bully: Scholarship Edition and came across a popular mod that removes the white fog effect. I downloaded it, but the mod came as an .exe. I double-clicked it, and now it’s running in the background and using around 50 MB of RAM.
Is this normal for this type of mod? Should the .exe stay running in the background, or is it only supposed to run once to apply the mod?
https://www.nexusmods.com/bullyscholarshipedition/mods/45?tab=files