- Download the Windows application from any source (e.g. download.com). Download the .EXE (executable).
- Place it in a convenient directory (e.g. the desktop, or home folder).
Open the terminal, and cd into the directory where the .EXE is located.
Type wine the-name-of-the-application.extension (e.g. wine realplayer.exe).
This will start the .EXE using Wine. If it is an installer, it should then run as it would in Windows. If the application asks for a directory to install the application to, select put it under C:\Program Files.