I have a executable file working in Ubuntu that runs a script in Python and works fine. I have also a shared directory with Samba server. The idea is that everyone (even Windows users) can execute this executable file located in this shared folder to run the script located in my computer. 
But, how can I make an executable file that runs the python script of MY computer from both Linux and Windows remote users?
As you've said, this executable file would need to be something that runs on both Linux and Windows. That will exclude binary files, such as compiled C files.
What you are left with would be an executable script, which could be

Bash
Ruby
Python
PHP
Perl

If need be the script could simply be a bootstrapper that loads the appropriate binary executable depending on the operating system.
Executable shell file in Windows