Wine won't open .exe files?

I'm a big noob to ubuntu and having to run wine with windows applications, but I'm trying to download some indie games and 99% of them come up with an error message that insufficient data is not allowing the apps to run. I've tried re-downloading the games, no luck. I've tried setting the preferences to allow the files to be executable (the solution I've seen here most often) but that doesn't work either.
Any tips? I'm running Ubuntu 14.04 LTS.