Not all EXE files work out-of-the-box. That is especially true for games.
Some games don't work with all Wine versions, in which case you might need an older version (tools like playonlinux can help you there).
Games that require accelerated graphics might require tweaking your card in the registry and adding components like directx through winetricks.
For help with particular software/games, you should go to WineHQ. It's much easier to get help there, and their database gives you an idea on whether it is actually possible to run it under Wine or not.
Test your wine installation with something that isn't a game and doesn't depend on hardware or other software first. Don't use MS applications for tests, as they are known to resist wine. If you can get something simple running, then you know wine works.
If you can run it in Wine, it's most likely the fastest solution. There are even games that run faster in Wine than in Windows. Virtualbox is most likely too slow. VMWare is faster, but still, your game may not work at all or gets slowed down by the VM.
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