It may be necessary to mark the permissions as "executable" in the right
click properties. When that is done a double click should start the
installation (same as in that 'other' operating system). Alternatively one
can right click and choose Wine.

If this doesn't work make sure there is a Wine item listed on your start
menu and that you have installed the latest system updates. Or install Wine
from the repositories, using Synaptic or the Software Centre.