If they had designed the win32 PE .exe format differently, they could have included a 16bit NE stub to throw up a messagebox with the message - in the same way the .exe files already include a 16bit MS-DOS MZ .exe stub with an equivalent message.
I believe this is the case. If you try to run a 16-bit executable on x64 Windows, you will receive a "not compatible" error MessageBox essentially saying WOW cannot help you.