[Wine] Trying to get started

[Gulfvet91]

I got Wine onto my computer.  Now I have a bunch of .exe files and I can't get much of anything done.  I saw a file named Start.exe, double-clicked it and got the following from Archive Manager:

End of Central directory signature not found

How do I get past this?  I need to get Wine going so I can download a whiteboard application I need to tutor for Brainfuse.com.