[Wine] First time configured Wine not running .exe files

[kolahalb]

Hi,
   I have recently installed ubuntu 10.10 and need to run specific .exe files. I am not a new wine user. But this time, it is not working at all. Whenever I am trying to run a .exe, it gives the following error message:
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The file 'xyz.exe' is not marked as executable.  If this was downloaded or copied from an untrusted source, it may be dangerous to run.  For more details, read about the executable bit
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I also configured wine from Application>wine>configure wine and set the name of xyz.exe in the Application Settings. Can anyone please suggest where the problem is?

-Kolahal