Open a shell and navigate to the directory with the .exe in it. Then do this
Code:
wine program_name.exe
. It may or may not work. If you have not configured wine, a screen will pop up and allow you to do this. You can just say yes to all of the defaults and try it out.

Your best tip on gettting apps to run under wine will probably come from this site: http://frankscorner.org/

There are a lot of tips there as well as a forum there too where you can ask questions.