It depends on the game/app. Some will need dll's that only a windows install can provide.
As far as the command to run wine, you are correct. For example:
wine /media/dvdrecorder/setup.exe ----< to install a windows program from CD/DVD
Try out the new 'cedega' version of transgaming's wineX. There is a timelimited demo available from their website www.transgaming.com/cedegademo
(I believe). I tried it for S&G last night, and it seems to work pretty well.