Hi @alphamattic, welcome to the forum!
Please note that – as of Zorin OS 15 – Wine is no longer included out of the box in order to make the system safer from any potential Windows malware out of the box. However, you can follow these steps to install Wine the recommended way and run Windows apps in Zorin OS:
You will need to use the "Install Windows Application" option and then click on the "Install Windows App Support" button in order to run – and not only install – Windows app in Zorin OS. Afterwards, it should run the .exe normally (after double-clicking on it) using Wine.
P.S. Depending on the game, it might be easier and quicker to set up & play Windows games in Zorin OS using Steam's built-in Windows game support, or using Lutris. You can find out more about these options on this topic: