Many newer Windows programs will not install under wine unless you have the Windows Installer service installed. To make life with wine easier check out winetools ( http://www.von-thadden.de/Joachim/WineTools/
) - go through the wizards to install/configure Internet Exploiter, Windows Media Player, Windows core fonts, and of course the Windows Installer service. Once you have those programs installed and configured,you will have fulfilled the dependency Hell of many Windows programs.
Furthermore, if you run through the winetools wizard it will guide you through properly initializing your wine environment, including creating the symbolic links to your Linux devices/mount points.
One last thing: if you want wine mainly for running games, consider buying cedega. Cedega is based on wine but provides enhanced DirectX support and is optimized specifically for running Windows games.