Wining a bit...

(Whole thing was done on Xubuntu.)
Before or after installing Wine, it's probably wise to also install cdemu (install instructions) - 'It has some similarities with DAEMON Tools for Windows', says version 2.0 release announcement. It is said that frequently it even works for CD-installations and shit. It's slightly easier to use than sticking all your installation files to some folder and installing from there. But it's also said that copy-method is only thing that works in certain cases (multi-cd setup)...

If you have old Wine installed, take it down and then install the latest one (instructions here). And currently it's 1.5.2.x beta.

sudo add-apt-repository ppa:ubuntu-wine/ppa
sudo apt-get update
sudo apt-get install wine1.5

Xubuntus' repos give you 1.4 only - that's why to go for current beta... Well, Debian stable offers 1.1 so, Ubuntu is quite modern.

After console-install in Xubuntu I had first to copy menu items to my ~home. Like: copy winecfg from /usr/share/applications to ~/.local/share/applications, edit if needed and so on. By the way - the file what looks most like business - Wine Windows Program Loader, doesn't work like wine app GUI, but goes to context menu 'Open with Wine'.
If Winetricks came with Wine (like it's said somewhere in Wine page), then you have also winetricks.desktop to copy. And that one opens as GUI-app. If it didn't come, then Xubuntus' repo has the last version (yes, really) for easy install.

Then install some things you need anyway, in terminal:
sh winetricks corefonts vcrun6
During installing it's probable that the thing wants also mono and gecko packages... and offers to download/install them. I said 'yes' - and install didn't succeed. I finally managed to install those two myself from Xubuntu repo.

I decided to install programs which have at least (and mostly) 'gold' status in 'Wine AppDB'. Which left out Photoshop, by the way - a disappointment to me.
First I installed Irfanview (has Winetricks entry too), and successfully. Fonts did look like shit though. But I didn't bother to waste even more time for finding solutions for that.
Then I tried one old game (manual install and - fail), and then a new one (which couldn't install some folders. Fail, of course.).
No, I didn't tweak and fix and whatnot. After spending some 6-7 hours for reading-about, and already knowing that programs in Wine seldom work without glitches - if at all ... I decided to quit wasting my time.

Because it's not really about using your Windows programs, but more about nerdy challenge of getting them running at all. It's tens of times easier to reboot into your Windows and play there.
If your need of that Windows program is not totally unavoidable, then don't bother - it's not worth of it.