Setting up WINE, in my experience, is as easy as just installing it and running EXEs and MSIs with it. I just set wine as the default handler for those file types, and things mostly just work.

There is some tweaking that is sometimes necessary, but it's easier to tackle that on a case-by-case basis. I hardly have to do anything for the handful of Windows-based tools I keep to work, and there's usually someone online who has already figured out a workaround so I don't have to.