At it’s simplest you just start the programs with Wine. So when you have Wine installed you can just select to run an exe file with Wine. By itself it will install them to a hidden folder where a mock-Windows-folderstructure is created and add entries to your start-menu equivalent.
Most people use helper apps that add a separate mock-Windows environment for every program. Makes it easier to manage them, especially if one program needs different settings from another to work.
Bottles is such a helper for general programs. Heroic is mostly for GOG and Epic games. Lutris generally for games. And Steam uses it’s own Wine version Proton automatically for verified games and you can trivially configure it to automatically use it for every Windows game.