Consolidated from BATL
In order to install a game using wine you need to open up a terminal and navigate to the directory where the setup.exe file is located. Then:
$ wine setup.exe
to install the game.
Here is a list of games that wine currently supports: http://appdb.winehq.org/
and here is a list of Linux games http://happypenguin.org/
That being said, I also have a Windows 7 partition for gaming but I disable the network while running windoze. I do not play games very much but when I do they are generally new FPS (First Person Shooters) that are very graphic intensive. I find that wine does not support newer games and ones that require anything higher than DirectX 9 to run.
Other game links from the same thread by member "arochester":
1) Wine and games - http://frankscorner.org/
2) Linux Gaming Sites - http://lgn.linux-hardcore.com/