This is the complete rewrite of the old PE tutorial no1 which I considered the worst tutorial I have ever written. So I decided to replace it with this new one.
PE stands for Portable Executable. It's the native file format of Win32. Its specification is derived somewhat from the Unix Coff (common object file format). The meaning of "portable executable" is that the file format is universal across win32 platform: the PE loader of every win32 platform recognizes and uses this file format even when Windows is running on CPU platforms other than Intel. It doesn't mean your PE executables would be able to port to other CPU platforms without change. Every win32 executable (except VxDs and 16-bit Dlls) uses PE file format. Even NT's kernel mode drivers use PE file format. Thus studying the PE file format gives you valuable insights into the structure of Windows.