Originally Posted by Azmandius
How exactly are you doing that?
Whatever distro you use, you need to install wine.
I know Ubuntu and a few others have it in their repositories, which would simplify that.
After wine is set up you can simply rt click on the .exe and choose "open with wine" which should start the installer.
Here's a little "success list" from the site I linked above.
You may wind up having pretty good luck with this.