Alexandre,
It seems that this patch:
http://www.winehq.org/hypermail/wine-cvs/2002/08/0158.html
broke PuTTY. Before the patch, the dialog would come up, after the patch, it doesn't. You can get putty.exe from this link:
http://the.earth.li/~sgtatham/putty/latest/x86/putty.exe
it requires no installation, just do
$ wine putty.exe
to run it.