if u use ubuntu, in command line type 'sudo apt-get install wine'
the next time you want to execute some exe file, just type 'wine demo.exe'
remember wine is not perfect and you always need to study why the program can't work.
Please goto wine official website to see what application is supported. By the way, if you need better alternative, using cedega for game, crossover office for ms office xp/2003. They both is coming from wine too,but u need to pay little bit.