There are many ways to run software other than through Wine. If you are considering using Wine to run an application you might want to think about the viability of these approaches if you encounter difficulty.
Instead of running a particular Windows application with Wine, one frequently viable alternative is to simply run a different application. Many Windows applications, particularly more commonly used ones such as media players, instant messengers, and filesharing programs have very good open source equivalents. Furthermore, a sizable number of Windows programs have been ported to Linux directly, eliminating the need for Wine (or Windows) entirely. These alternatives should be found through your system's package management facilities.
Probably the most obvious method of getting a Windows application to run is to simply run it on Windows. However, security, license cost, backward-compatibility, and machine efficiency issues can make this a difficult proposition, which is why Wine is so useful in the first place.
Another alternative is to use ReactOS, which is a fully open source alternative to Windows. ReactOS shares code heavily with the Wine project, but rather than running Windows applications on top of Linux they are instead run on top of the ReactOS kernel. ReactOS also offers compatibility with Windows driver files, allowing the use of hardware without functional Linux drivers.
Rather than installing an entirely new operating system on your machine, you can instead run a virtual machine at the software level and install a different operating system on it. Thus, you could run a Linux system and at the same time run Windows along with your application in a virtual machine simultaneously on the same hardware. Virtual machines allow you to install and run not only different versions of Windows on the same hardware, but also other operating systems, including ReactOS.
There are several different virtual machine offerings out there, and some are also able to emulate x86 hardware on different platforms. The open source Bochs, VirtualBox and QEMU can run both Windows and ReactOS virtually. Other, commercial virtual machine offerings include VMware and Microsoft's VirtualPC.
There are significant drawbacks to using virtual machines, however. Unlike Wine, such programs are emulators, so there is an inevitable speed decrease which can be quite substantial. Furthermore, running an application inside a virtual machine prevents fully integrating the application within the current environment. You won't, for example, be able to have windows system tray icons or program shortcuts sitting alongside your desktop Linux ones, since instead the Windows applications must reside completely within the virtual machine.