Sounds like you don’t have wine setup correctly.
I didn’t have any luck with the wine version that came on my Mandrake CDs so I tried CodeWeavers’ version of wine with great luck.
You can get the RPM here http://www.codeweavers.com/technology/wine/download.php
Install the rpm, then open a term and type winesetup, I think?!?! It has been a while. (Check their docs)
This will start a nice graphical setup wizard that will allow you to set up a fake windows directory set or configure an existing windows partition (if you have a existing windows partition that you would like to use make sure you mount that partition before you start the winesetup)
CodeWeavers’ wine is a lot easier to setup, at least I think so.
Then you can start you windows programs the way I said above.
Hope this helps