So how do you install Wine? Well thankfully its in the Ubuntu repositories.
First up go to Ubuntu Software Center and type "Wine", you'll get the following search results:
Next select the Wine beta option (its better to select beta since it has loads of bug fixes compared to the stable version, ironically! :) ) as shown in the previous pic and install it:
Thats it! Now whenever you come across a .exe file or any Windows supported file, just right click on it and select the option to open the file with Wine. It will then run exactly as it would on Windows.
Extra Tips:
Here's some really useful info. Wine actually modifies your Firefox tahoma font and unfortunately that will make all your firefox fonts look really really weird! Eg. bold fonts would look like regular fonts etc. There's a way to undo the damage without affecting Wine at all. What you need to do is go to System > Administration > Synaptic Package Manager. From there, search "ttf-tahoma-replacement" in the search bar. It will obviously be installed on your system (considering you've already installed Wine).
So what you do is basically select the package and mark for complete removal of it (just the "ttf-tahoma-replacement" package, nothing else). Click on "Apply" to remove the pack.
And once you have removed the font pack, your synaptic should look like this once you search for "ttf-tahoma-replacement" again in the search bar (the pack should be deactivated/unselected):
I had to figure this thing out by myself. I havent found any other tutorial which explains this Firefox font problem solution.
Anyway, hope you enjoyed finding it out!