You can also run a WINE application in its launcher script by creating an application launcher on your desktop. To do this you create a launcher as usual (with Gnome 2 or XFCE by clicking the desktop, with Gnome 3 by running the "Main Menu" applet - other window managers have their own methods of doing this) and tell it to run the script rather than running Wine directly.
No suitable icon? Not all DOS/Windows programs use them. You can make you own with the GIMP or xfig. It should be 32x32 or 48x48 pixels and saved somewhere safe (putting it in $HOME/bin is good) as a .JPG or .PNG image.
The GIMP is good for rescaling or modifying an existing image or icon, but hopeless for drawing anything with straight lines: use xfig or another vector graphics program for that. If you use xfig, be aware that it has a very nonstandard GUI, so can be frustrating to use at first, but it works well once you get the hang of it.
Alternatively, simply draw and colour your icon on paper, photograph it and then use the GIMP to rescale it to icon size.