What're you using as window manager? KDE? GNOME?
In GNOME the steps to install are:
1. locate DVDFab installer .exe file
2. right click on .exe file and select Open With Other Application if Open With WINE isn't at the top of the popup menu
3. locate WINE in the either the Installed or Available Applications list, or type wine into the Use A Custom Command drop down
That'll start the DVDFab installer. Once done, depending on how you WINE install is configured, you should have DVDFab listed and available to start in your Applications->WINE menu. If not, opening a Terminal and typing wine "C:/Program Files/DVDFab 5/DVDFab.exe" should work (replace DVDFab 5 with DVDFab 4 if you're using that version).