PC > File Tools > PCManFM. Navigate to the .exe file, right click, select Open with Wine.
If Wine is unavailable in the right click menu, or you wish to permanently alter the file association, open PCManFM as root user and navigate to /usr/share/applications/mimeinfo.cache. Make a copy of this file and name it something like "mimeinfo.cache.bak" just in case.
Open mimeinfo.cache in Leafpad, click Control-F to open a find dialog, and enter the term "x-ms-dos-executable". It should point to a line starting application/x-ms-dos-executable
Change that line to read application/x-ms-dos-executable=wine.desktop;
If you just want Wine to have priority over File Roller for opening .exe files, edit the line to:
This will give preference to opening an .exe file with Wine over File Roller.