You should first decompress it and then start the installer file (setup.exe or something) with wine.
IF it will install, then it will be in your "fake" windows drive, which you should find in $HOME/.wine/drive_c/ (check in Program Files for the game).
If the game doesn't install or doesn't work, check the wine page for info (perhaps someone managed to make it work somehow). Also you should search for info on how to install additional files (.dll etc.) in order to improve wine.
If there is no way you can do it, try Cedega, a comercial version of wine (before buying it, check if your game is supported by Cedega).
(yes, Cedega is a comercial software based on an open-source one as Wine isn't licenced under GPL, but under a BSD style licence)