Dear Ubuntu- Please provide this simple instruction

One of the selling points we all use in our Linux advocacy to Windows users is that they can run their favorite Windows applications under WINE on Linux. That sounds great.
However, I’ve noted on Ubuntu Lucid Lynx that the above sales pitch seems to have been torpedoed, at least superficially. When you install WINE and attempt to run a .exe file with it, you get a notification that tells you “…the file is not marked as executable.”
Fine. So what to do? Nothing. No “hey dude, click here to set it as such.” That dialog box is absolutely clueless as to what to do to get the file marked as executable. If I have installed Ubuntu for an erstwhile Windows user and she’s trying to run a game or any other application she probably swears by, this would be a big set off.
Sure I believe that was done for security reasons, but at least there should be some guidance to tell people to just right-click and mark the file as executable. That will sure go a long way to make life both easy for them and at the same time cut down the number of people who run back to the ‘evil’ they are used to screaming how Linux is a geeky OS.

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