http://bugs.winehq.org/show_bug.cgi?id=21402
--- Comment #2 from A Wine user RandomAccountName@mail.com 2010-01-18 01:44:14 --- No, it doesn't install its program files or links. It does create the specified program folder and a setup folder within it.
After the point where it fails in Wine, the next thing it does in Windows is ask the user which program group it should create its start menu links in.
The program itself can be run with few bugs in Wine, but it has to be done the "wrong" way - by installing in Windows first, then running the program executable without proper installation in Wine.