When I click on *.exe file in my file Manager, nothing happens.
The normal Wine releases don't have .exe extensions registered for Wine in KDE/Gnome yet. You have to open a terminal window instead (often an icon showing a "black screen") and type something like:
cd /my/windows/program/directory
wine myprogram.exe
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How do I run an MS Windows program under Wine?
When invoking Wine, you must specify the entire path to the executable, or by file name only. For example to run Windows' solitaire, type any of the following:
wine sol or wine sol.exe (using the search path to locate the file).
wine c:\\windows\\sol.exe (using a DOS file name).
wine /usr/windows/sol.exe (using a UNIX file name).
wine "c:\windows\sol.exe" (using quoted DOS file name).
The path of the file will also be added to the path when a full name is supplied on the command line.