i know how to make a simple script for bash.

I want to make a simple one line command that launches a specified program using wine. Then i want an icon on my desktop. So the end result is that when i click the icon it launches the terminal, executes the command, and my program is opened.

However currently the terminal (and subsequently all wine programs) close as soon as it is done executing.

you can do it without a script or a terminal, or otherwise calling the shell yourself.
here is how i do it in gnome:
go to the directory the .exe you want to run is in.
right click on it and select Make Link
once the link is created, right click on the link and select Properties.
in Properties window there are tabs on the top. select Open With.
click Add on the bottom. Add Application window will open.
just type wine(or whatever other flavor of wine you might be using).
you might have several entries in the list. make sure you select wine(click the baloon beside it).
you are done making the link(or shortcut if you want it call it windows style).
you move the link to your desktop or a menu. you can rename the link as well, since the link stores the full path to the target inside.
you can add fancy icons to it as well(also in Properties).

have fun. this is just a seamless way to do it, there are probably 100 other ways of doing it, this is just one of them.

simple bash to launch firefox (win32) as an example.

#!/bin/bash
wine "C:\Program Files\Mozilla Firefox\firefox.exe"