Wsc24, I tought about having a possibility to load other programs/files with GE but got the answer that Game-Editor was made just for games. (As it's name says)
To move your exported exe into windows screensaver you should find some kind of:
exe -> scr converter.
Just google "exe scr converter" and you will find bunch of expensive programs which can make this. If you are lucky you will find one free one. If so, please report it to me too!