http://bugs.winehq.org/show_bug.cgi?id=20909
--- Comment #3 from Nikolay Sivov bunglehead@gmail.com 2009-12-04 13:01:18 --- First of all you may want to read http://wiki.winehq.org/FAQ.
Part 6.1 is about a way to redirect terminal output to a file.
You have to run your program from a terminal session (a terminal emulator from your desktop environment). Don't forget to 'cd' to program directory before running it (it's located in .wine directory in you home dir).