As I said this is not very good behavior, some .exe files may install a program first and then it may create a desktop entry, by default this windows link will only be accessible from within the app library but you can export it. Linux uses .desktop entries, running .exe files is not how you do it.

Did you already create a bottle? If not do so, use "programs" or whatever you want to run.

pupgui is needed if you want games, install latest proton GE and use that instead with a "Games" bottle.

Then if you have any bottle created, close the app again and try to open that .exe again with bottles.

Things to consider that I have the feeling you might not know

• bottles has a really well made flatpak, this is the only supported version
• flatpak apps have an internal app storage (pupgui flatpak can write there to install the wine engines)
• even if not in flatpak (which you should 100% use, wine is a security hole), WINE will create a fake Windows directory structure and place the .exe there
• so running an .exe is completely different from an appimage (which you should not use unless you need to). This app will likely depend on Windows libraries so it needs to be installed i.e. placed in that WINE directory structure