Screenshot from the Dolphin file manager in KDE showing what happens when you right-click on an EXE file

This screenshot is just an FYI at some of your options. I’ve got bottles, PortProton, and the ProtonTricks launcher as options for any given EXE/MSI installer. Bottles is usually all that’s necessary but I have the others for super tricky stuff like embedded software development BS that would never be encountered by a normal person (haha).