Better to open a terminal-emulator (Konsole, Gnome-Terminal, xterm), cd to the directory where your installer (the .exe) is and then run it from there like this:
This way you see, what wine has to say about possible problems while installing your prog.
Before all that - wine should be configured a little - use winecfg
...unfortunately it is not all that easy - and a lot but not nearly all programs run quite good with the new "wine"
They have a website too...