If you downloaded an "rpm" (package manager) for your distro (some rpms are "pre-configured" for your specific distro) then to install it you would type:
rpm - ihv wine_whateverfilename.rpm
that should install the program for you placing all the components in the right places. By doing that it should appear in your menu, if not, then open a console and type "wine". I haven't used wine yet so I'm rather unfamiliar with the commands associated with running wine. You should find some info at http://www.winehq.com
Hope this helps.
BTW, just as a suggestion, try to think "out of the box" regarding "double-clicking". Lord knows I was in that position too - it was kinda strange to move from Windows, where you double-click everything to Linux where it's MUCH better to write out commands (you have much more leverage over what a program does when you type out a command). A double-click in Linux won't always do the same thing as you might expect it to.