http://bugs.winehq.org/show_bug.cgi?id=7802
Basically all that should be done (and I dont know why this isnt done anyways) is to have wine (or more likely wineprefixcreate) make ~/.wine/dosdevices/c:/windows/profiles/(user)/Start\ Menu and ~/.wine/dosdevices/c:/windows/profiles/(user)/Start\ Menu/Programs .... Then also make winecfg _not_ default to creating ~/.wine/dosdevices/c:/windows/profiles/(user)/Desktop as a symlink to ~/Desktop..
This can be verified by starting with a clean .wine dir and clean ~/.wine/dosdevices/c: and running wineprefixcreate .. Then run winecfg and make sure to uncheck the Link to box for the Desktop shell folder in the Desktop Integration tab and apply the change. Then manually make ~/.wine/dosdevices/c:/windows/profiles/(user)/Start\ Menu and ~/.wine/dosdevices/c:/windows/profiles/(user)/Start\ Menu/Programs
Then get the winrar installer and run it. Check all of the shortcut creation boxes after the install is finished. Then check the above mentioned folders.
While I'm at it though I should mention that I have seen several installers fail if they can't find ~/.wine/dosdevices/c:/windows/system32 because for some reason wine doesn't create it either, not even as a symlink.