I'm new to the OS an I've been trying this all day
It should do so simply by double clicking on the .exe file.
Have you installed the Wine Compatibility layer?
sudo apt install zorin-windows-app-support
assuming you installed wine, it is quite literally just
Would be useful as to what program/s you are trying to get to work. Personally I avoid wine now on a security front - I've seen plenty of warnings with other distros I have used about using WINE.
I honestly wonder where you get your information from
SolydX. If you want to be secure, and you have enough RAM and you can't live without Windows, use Virtual Machine Manager instead - much better than Virtual Box.
"All Linux Distributions are inherintly Safe."