The parts of that guide on configuration and use are out of date. Running winecfg should no longer be necessary to begin using Wine (unless there's some bug affecting wine on the eee). It's an advanced tool and should not be mentioned on any guide for new users. For running .exe installers, see http://wiki.winehq.org/FAQ#head-f3515230c198befe0279d32c448d9c8da63be66f (I guess you'll need to use the terminal instructions since double-clicking doesn't work). Double-clicking really should work. If it doesn't, it's a bug in either Xandros, Wine, or the package you're using.
