Getting Up and Going with Wine on Ubuntu
Wine is a free compatibility layer that allows some Windows programs to be used under Linux and other Unices. It is not perfect, but may work out of the box for some of those applications you need. As was revealed in the 2007 Desktop Linux survey at DesktopLinux.com, the majority of Linux users who run Windows programs on Linux use Wine. However, seeing as the default interface is primarily a CLI, it can be confusing to use to new Ubuntu users to use. Here we will simply install Wine and install K-Meleon 1.1 as an example.
Installing Wine
Your first and easiest option is simply to install wine from the Ubuntu universe repositories. If you have not already, there are instructions for enabling the universe repository with Synaptic here. You can then go to a terminal (Applications>Accessories>Terminal) and insert the following to install wine.
sudo apt-get install wine
Wine is being constantly improved. There are newer versions that what is included in the Ubuntu repositories. Thus, the Wine developers have a repository with the latest and greatest versions. There are instructions for adding the repository on Wine HQ for each version of Ubuntu from Dapper to Gusty.
After Wine is installed, simply run the command "wine" (sans quotes) to get everything set up.
Setting up K-Meleon (our example program)
1. Navigate to the directory where the program in. Is in this example, it is in ~/Downloads. If needed, you can go to removable media as well.
cd ~/Downloads
2. Run your program by typing "wine" followed by the name of your exe, such as below. If you are using a DOS application, replace "wine" with "wineconsole". If you are running an msi file, replace "wine" with "msiexec /i".1
wine K-Meleon1.1en-US.exe
3. If all goes well, you should then see the Setup dialog in K-Meleon's case, or whatever program you wish to run. Again, not all applications will work quite right. Keep in mind that some terminal output, such as the below, is normal.
fixme:actctx:parse_depend_manifests Could not find dependent assembly L"Microsoft.Windows.Common-Controls"
err:shell:SHGetFolderPathW Failed to create directory L"Y:\\Desktop".
err:shell:SHGetFileInfoW pidl is null!
Hopefully you should have no issues getting your program installed.
Running Wine Programs
Usually, you should be able to access your Wine applications from the Wine category under K Menu or the GNOME menu. In earlier versions of Kubuntu, Wine programs would be stuck under Lost and Found. If not, you can still run your applications from the terminal if needed. Simple change to the ~/.wine/drive_c directory to get to the main hard drive. You can then look through and find your applications and run them in the same way as under the previous section.
cd ~/.wine/drive_c
Useful Sites and Utilities for Wine
- Franks Corner - A great resource for getting a number of programs to work under Wine.
- IEs4Linux - An easy way to get multiples versions of Internet Explorer running on Linux using Wine
- Wine App Database - The de facto site for information on how well different applications work on Wine, as well as how to get them working
- Wine Doors - An easy installation tool that makes Wine easier for a number of programs
Good Luck!
I wish you luck with using Wine. Keep in mind though… sometimes it's easier simply to find Linux programs to do the same task. 
1: Hendriksen, Frank. "Installing from an .msi file." Frank's Corner. 2005. 12 Nov 2007 <http://frankscorner.org/index.php?p=msi>.
wow, that's cool tut and info, But I strongly agree with your one of the last statement and i.e. it's better to find a linux app which can do the work.
@ReviewSaurus: Yes. I actually see one of the best uses for Wine is for those old obscure programs for Windows 3.1 or 95 that some people still use. Some people don't want to upgrade some things to more advanced applications.