I wish to run a .exe file in ubuntu for this I've install wine,but still I cannot run it.
Wine doesn't allow you to run ALL Windows Applications on Ubuntu ... only some.
If your application is a .NET application, perhaps this blog I wrote a while back may help you:
http://digioz.blogspot.com/2007/12/running-c-net-applications-on-fedora-8.html
Pete
Look at the Add or Remove ..,there may be a check box for wine..tick on.
Codeweaver's Crossover Linux is slightly better than raw wine in getting Windows apps running.
They have a 30 day trial if you want to have a play, there is a reasonable fee if you want to keep using it after this time.