Progman.exe is the Windows 3.1 file/program manager. Windows 3.1 did not have a desktop, desktop icons, or Windows Explorer like 95 and beyond did; it had literal "windows" that had application starters in a paned view. Progman was the program that managed and displayed these windows and their icons.
If you'd like to see it for yourself, go to the
Wine Project page on Sourceforge.net and download
wine-prgs-20040505.zip, which can be found in the
Win32 Packages section just below the middle of the page. Extract the zip file somewhere, open a terminal, cd to the directory you extracted the files to, and run
wine progman.exe.
These packages are pretty much only to test your Wine installation; it's unlikely that you actually would want or need notepad or progman on their own account, but they are useful for that reason, as they are so old and simple that they should always work under Wine.
Wine does not come with or need any external programs with the exception of regedit (although there are a few useful setup tools)-- Wine is meant to run the Windows programs you install under Wine or tell it to run from a previous installation you've done under Windows, nothing more.