It appears that FoxIt have designed the windows version to act like its "portable" version if it detects the "setup.exe" running under Wine.
This means that it doesnt need to be 'installed'. You can create a Launcher if you
- Right-click on your desktop.
- In the Command Line entry Browse to where the setup.exe was downloaded.
- Then amend the entry to look like the following:

Similarly (if using Lucid or Maverick),
- right-click the menu in the top panel and choose the option "edit menu".
- Locate where you want to locate the new menu option and create the new menu option using the same Command Line entry as in the screen-shot.
If you want to use the Windows Foxit Reader automatically when you double click a .pdf file then the instructions are very similar:
- Right click the PDF and choose the option "Open with other application"
- Use the Command Line syntax as above but append \"z:%f\" i.e. it should look like:

Remember to leave the check box "Remember this application.." ticked
I solved the problem myself. Here's how:
Step 1: Create script
I followed the procedure in the https://help.ubuntu.com/community/Wine page:
gedit ~/.wine/Foxit5
Now paste the following script in it, save and close gedit. If you changed the installation path, modify the 2nd line accordingly.
#!/bin/sh
QUICKPARLOCATION="c:\\Program Files\\Foxit Software\\Foxit Reader\\Foxit Reader.exe"
PARAM=`winepath -w "$*"`
wine "$QUICKPARLOCATION" "$PARAM"
exit 0
Make sure the file is executable with this command.
chmod +x ~/.wine/Foxit5
Step 2: Create .desktop file
Info from this site: http://ubuntuforums.org/showthread.php?t=1863021
- cd to the directory /usr/share/applications
- use 'grep -i foxit *' this will search for the name foxit ignoring case.
- if it's not there make one from one of the smaller ones.
- I used sol.destop and copied it to my own fake app.
Don't forget the %f, this shows that the application can be passed a file name, it has to be there to show up in the list.
sudo cp sol.desktop foxit.destop
gksudo gedit foxit.desktop
foxit.desktop Code: (I created an icon and saved it in the .icons folder)
[Desktop Entry]
Name=Foxit Reader 5
Comment=Read and annotate pdf files
Exec=~/.wine/Foxit5 %f
Icon=~/.icons/Foxit.png
Terminal=false
Type=Application
Categories=Office;
X-GNOME-Bugzilla-Bugzilla=Foxit
X-GNOME-Bugzilla-Product=foxit reader
X-GNOME-Bugzilla-Component=Zwischenlager
X-GNOME-Bugzilla-Version=3.2.1
StartupNotify=true
X-HildonDesk-ShowInToolbar=true
X-Osso-Service=org.gnome.Games.AisleRiot
X-Osso-Type=application/x-executable
X-Ubuntu-Gettext-Domain=aisleriot
Step 3: Set as default
Open file manager and find any pdf file.
Click properties.
Open with.
Show all.
Choose Foxit Reader
That's it! Well sort of… This method works only if Foxit reader 4 is not running. If it is a "file not found" error pops up.
EDIT: This methods works fully with Foxit Reader 5 but you would need to install wine 1.5 for this version to work. Visit http://www.winehq.org/download/ubuntu to do so.
Best Answer
Found blog entries about the same problem for Foxit reader and for PDF-XChange Viewer. None of them worked for me. So I edited them and got one tailored for my case:
Save this bash script and open pdf using this script. Now double click pdf files will open them using PDF-XChange Viewer.