[Wine] Programs don't install on WINE

[steve22]

I installed WINE 1.1.35 to try it out. I'm running PCLinuxOS 2010 and installed using the program installer in the OS. When I tried to install a simple program, that's on the WINE list as a good program to run, Chuzzle. I double clicked on the install. A menu popped up and I clicked on 'open with'. Then I went to WINE and a list of files came up to choose from.
-configuration
-registary
-program manager
-etc.
 If I didn't choose a file it won't load. If I open a terminal and go to the CD and enter 'wine ChuzzleSetup.exe' nothing happens. Anybody have any idea of what I did wrong? Or didn't do right?  [Question]