A one liner
cmd /e:on /v:on /c "for %f in ("* *.exe") do (set "n=%~nxf" & set "n=!n: =_!" & ren "%~ff" "!n!" )"
Spawn a cmd instance, with extensions and delayed expansion enabled, and for each exe file with spaces in name, replace spaces with underscores and rename the file with the new name