Between packages from official distribution repositories, first party develop repositories, snaps, flatpaks, and AppImages, every now and then you still need to deal with .exe files that you run with WINE on Ubuntu. For me, I live in a Mikrotik world for a good chunk of my day and the desktop configuration utility, Winbox, is only distributed as a .exe file. It works beautifully on Linux with WINE however.
Wanting desktop integration with my panel, launcher, favorites, terminal, etc, "installing" Winbox properly takes some decision making. I personally like to do this sort of thing contained in my home directly. So where do you store the .exe file? How is the launcher set up? Icon?
I made a quick little script to do all the hard (not that its that hard) work for you. Along with a quick video explaining what it going on.
With this, you should feel confident using Ubuntu 20.04 or similar Linux distributions and install Winbox in a clean way.