http://bugs.winehq.org/show_bug.cgi?id=15161
--- Comment #2 from James Hawkins truiken@gmail.com 2008-09-07 15:28:09 --- Several problems: a) it looks like you haven't added the dvd drive to wine in winecfg b) you have to run setup.exe from the directory in which the file resides
$ cd /media/dvd $ wine setup.exe