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The best source of info is the winehq site, the link below is to the FAQ which has answers to your question. Once you have run winecfg, you usually just right click on the icon for your application and when the window opens asking which program you want to use to run it, you type in wine. There are other ways which should be explained at the link below.
Wine is a "compatibility layer" for Windows programs, which means it simply acts as a wrapper and environment for the program that (attempts to) translate Windows api calls into the equivalent ones for Linux. Whether any specific program will run depends almost entirely on whether they've managed to properly duplicate the api calls that it uses. So some programs will run well (even better than the original in some cases), some will run only partially, be buggy and unstable, or have broken features, and many others will fail to run at all.
Since you didn't give any details about what you're doing, you won't get any detailed answers, only general advice. First, what do you mean by "downloading" wine? Have you even managed to actually get it installed? Note that your distro probably has it available through its package manager, and you should probably try using that first before trying the ones available on the winehq site.
After you have wine installed, if your program doesn't run out of the box, the first step is to go back to winehq and check their app database for any previous reports of success or failure. There are also some parameters you can play with, generally controlled through winecfg. The order in which the dlls are loaded can affect the operation, and you may have to use actual Windows dll files, if you can get them. You may have to try different versions of wine too. See the documentation for more.
By the way, if, by "open a .exe file," you meant "open a self-extracting .exe file," then almost any Linux archive program can do that for you. No wine needed.
**********************Thank you everyone I have solved my problem that I needed the exe file opened for. but I'm still interested to know how to open a a exe file in linux. When the exe file came up it said open with and it listed a half dozen programs. none of the ones listed opened the exe file. I'm running Mint 15 and love it but there is still lots to learn. Thank You
You need to be VERY more specific on "opining a *.exe" file
for us reading this a *.exe" file is a Microsoft electable file
and hence a HEX binary file !!!!!!!!!!!!!!!!
---- not easily read -----
now Microsoft Visual Studio will open them ???? some what ???? or NOT
Now most distros have access to gnome OR " ocular" it is likely installed .
ocular can read the binary file
Now the question is can YOU read the hex output ??????????