Sasi,
Most applications like Adobe products for example, will detail how to configure their apps to not autoupdate via an MSI file upon installation. Same goes for Java, and a few others that are common apps. A quick search on their support site or 3rd party sites detail this quite well.
Outside of that, firewall rule, blocking that particular EXE file from accessing the Internet would work.
Perhaps even using NAC (an add on to SEP) could do this as well.