It's more likely to be a permissions or dependency problem. Can you copy those files to another directory, say your $USERDesktop folder. Then open up a terminal and change directories (CD) to the setup file directory. Then do "chmod 777 setup.exe", change setup.exe to the setup files name. You must do this for all dependencies of the setup file.
Make sure you've allowed executing of the file as a program as well. I've honestly never heard of this happening, what version of Wine are you using? (Applications -> Wine -> Configure -> About). What software are you trying to install? You may need to install a few requirements, such as Wine Tricks. This will install some common windows dependencies.