Ok, if you are using the GetWinexCvs script, or getting it from cvs manually....
Make install will install winex to /usr/lib/winex, and install a shell script which runs winex to /usr/bin (which should already be in your path). To run winex, type cvswinex *appname.exe*. The script will be named winex if you do a manual make install from the topsrcdir, and cvswinex if you use the script.
Remember, Linux programs are not stored in the same way windows ones are. Occording to the rules, full static binary programs should be installed to /opt, such as Firefox or Thunderbird, or a binary game like Tribes 2 or Enemy Territory. Other software will get its libs stored in (usually) /usr/lib, it's executable binaries in /usr/bin, ect. al. Since all linux programs share libraries, it is useful to do this and cuts down on space immensely.
Just search your c drive for the basic c++ runtime files (msvc***.dll), and see how many copies of each lib you have installed. I have no less than 7 different copies of msvcr71.dll installed all over my C drive. On linux, you use 1 copy of the lib, and the various different programs that use it simply use the same file. This is much more efficient, and when using Prelink, is much faster than even the less efficient Static binaries windows apps ship as by default.