It seems that NSIS installers have regressed in Wine 0.9 - at least, the PE Explorer setup which looks and feels like an NSIS based installer won't install with a "The folder name is invalid" error message. I poked at this a bit but got nowhere.
The installer of PE Explorer has been created with InnoSetup (not NSIS). This is bug 3241, as Vitaliy pointed out.
Regards Michael