Wine? Need help!

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http://ubuntuforums.org – I read the all of the information I could find on wine, and it wasn't very much (having issues with the search feature of the forum). I understand that the idea behind it is to make it so that you can install windows programs, and have them run on ubuntu. The wine website, says just to double click the .exe file, and it will take over, and install normally. That didn't work, it just opened the .exe. So, I right clicked, and hit Open with Wine Windows Program Loader, but nothing happens... How do you get wine to work? (Hardware)