Check out the WINE application database here
*appdb.winehq.org/
It has a list of software you can run on WINE, and the extent to which it is supported, and any special instructions if required. Data is submitted by various users (for example I have for Jet Audio and WinRAR).
Also from there download the binary suitable for your distro
In SuSE the WINE folder is in your home directory. So if my home directory is /home/nucleuskore
then the path to my WINE folder will be
/home/nucleuskore/.wine
Please note the dot before wine. Its a hidden folder. It will contain drive_c which is your C drive, then like windows, it will contain a Program Files folder and a Windows folder. All the applications you install in a terminal as praka123 has outlined above
wine application.exe
will usually get installed to the Program Files folder as in windows. If any application asks for a restart, don't reboot your linux
At prompt just type wineboot
Do get back if you get stuck
BTW which linux are you using