It really depends on the program.
If it's a game you need to read some online HOWTO for configuring it. See Frank's Corner
If it's a simple app like Notepad then wine should be able to aid it once your wine virtual windows directory is set up
. Again see F's C for WineTools to help with this.
It's best to run wine /path/to/file.exe
in a console, as you'll be able to see wine's messages which will help improve the configuration and warn you of problems.