acetoneiso

Is a feature-rich and complete software application to manage CD/DVD images. Thanks to powerful open source tools such as fuseiso, AcetoneISO will let You mount typical proprietary images formats of the Windows world such as ISO BIN NRG MDF IMG and do plenty of other things.

sudo apt-get install acetoneiso

You can use the command mimeopen, in a terminal go to the folder where your .exe file is and type

mimeopen -d filename.exe

You will get a popup menu, where you can see some options, but there is also an option 'Other...', choose this one, then type the command which you would use if you would open the file in the terminal and replace the filename with %f. So in this case you would type wine %f.

Now the default association for all exe files should be changed to wine.

Alternative, using Ubuntu-Tweak as described in Change all associations from gedit to another application will also change the default app associated.