Whether or not the application is supported by Wine is the first hurdle. If you do not want to scan through the list of supported applications on the Wine project's compatibility list (mind you, not every application is listed there), you will pretty much just have to try and install the application.
All you have to do, really, is go to the directory where the setup.exe file is, and run:
If it does not work off the flop, you might also want to try running
answered 22 Oct '10, 18:55