I am guessing that he wants on login. If not then just ignore this. At your menu at the top: System->Preferences->Sessions. That will open a window with a tab selected that says Startup Programs. Click the Add button. Name it what you like, The command would be wine /path/to/your/program.exe. Add whatever comment you feel appropriate. That should do it, just restart X and it should load up. (Make sure after you add it that it is enabled.)
