There are multiple ways, but i like the way Lutris does it:

• Click on “Add a game”
• Select “Install Windows Game from an executable”
• give it a name, if you use the name identifier as it is used on lutris.net you get the box art automatically
• click through, select install/prefix directory, select setup.exe file
• install as normal, install on the c: drive (only thing to note is if the game is using stuff like .net or vc runtimes then don’t install them and just remember which ones you will need)
• If runtimes are needed: run “winetricks” to add those, if you want to install patches: use “run exe inside wine prefix” (both are in the menu next to the Windows-logo Button)
• Play Game

Heroic Launcher’s installation is a bit more streamlined, but i found Lutris can do more stuff - i don’t know if i would have managed to mod my (owned) Battletech installation (BTA3062) so easily with Heroic. (involved setting a bunch of Envvars and dll overrides)