Hi there Mr. Malice,
Please take this as only the most constructive of criticism: Try to take some time to fully form your posts before releasing them into the wild. During that single paragraph, I know I read about Wine, exe's, games, D&D, divx mp4, mp3, psp and a few others, however I didn't understand most of what you were trying to ask.
For what I did understand: (
Wine handles all of your .exe needs. When I installed wine, I simply double-clicked the file, and Wine knew to do something with it. Is this what you were asking?
Games: Anything intended to be run as a Windows executable is handled through Wine(or a comparable Win "emulator").
I'm not sure about the final part of your post. Were you asking how to run DivX? it's a codec, so it's installed for your media player to use, You don't run the codec itself. If you mean running a divx player, I would suggest you find a media alternative if you can(MPlayer), as running apps through Wine has always been buggy for me at best. At worst, they didn't work at all.
I hope this helped some. I wasn't trying to give you a hard time, but we can help you a lot better if we can understand what it is exactly that you're asking