This is gonna be a wine tip because when I always install a new wine version I usually install steam or something. So usually you just go wine SteamInstall.exe, and everything works. But Steam now has the file as .msi extension, microsoft install ffs! but there is a way around how to launch that file in wine anyway. You just need this command:
wine msiexec /i SteamInstall.msi
and it should launch ;] it worked for me on ubuntu and on slackware as well =]