Wine advertises that it can start .exe files using freedesktop standards. Specifically, it installs a file named wine.desktop. It the desktop environment (not Wine or the distro) that decides how to use this information. Double-clicking on .exe files (using wine.desktop) should work better than the terminal nowadays. If there's a program that works in recent Wine when started from the terminal and not from double-clicking, I want to know about it. You may also want to check if you have something installed called "binfmt-support". This is not part of Wine, and it will also cause desktop environments to start wine for .exe files when they are double-clicked (but in a broken way).
