Linux desktop environment KDE has KDE Menu Editor that can be started right clicking the whisker menu icon (bottom bar, left corner).
There one can add new program / launcher / menu entry.

Somehow .exe app not worked when i just entered command: wine "/path/to/my.exe"
I had to enter /path/to/ into "Work path" field on "Advanced" tab.

Then app started complaining about missing DirectDraw.