Trying to install wineHQ to a flash drive from vista?

I have used Windows for all 15 years of my existence. I now decided that I should try something new and look at Ubuntu Linux. I installed it on my system along with Vista. I logged on and tried to run an executable (.exe) file, and it didn't work. I switched back to Vista and learned Linux doesn't do .exe files (I would love to know why the hell not...). I ALSO learned that I need a program on Ubuntu called WineHQ to run .exe files, and installing it on Ubuntu is a very complicated process. And to do all this I must transfer WineHQ to a flash drive to Linux. The .exe I am trying to run is a Linksys wireless adapter program thing. Seeing as how I am a first time Ubuntu user, can someone please explain to me, in plain english, how I can get Wine HQ to a flash drive??? Whenever I click the install link on the website nothing happens. Thanks for your help