Right-click on the executable; select "Open With".
Enter the path to WINE (perhaps "/usr/bin/wine"; to find WINE, type
"which wine" in a console window).
Before hitting "OKAY", click the "Remember application association for
this type of file" checkbox.
Alas, this did not work. I tried to open MSN Messenger (I use Gaim, but, MSN is simply better) but it did not work. I also tried to open Dariush, a Go game. This worked nicely. Finally, I tried Shareaza, a P2P programme. It clearly froze, as I now have a large section of un-usable screen where the Splash-screen was. I tried KDE System Guard to kill Wine, it froze too!
What have I done in-correctly?