I recommend the latest wine builds for macOS. Even though it's not deemed stable, I've had better success using it on Windows programs than earlier versions/builds.
The one I use is labelled "wine-devel-5.19-osx64.tar.7z
" and is 189MB.
After you download it, you would unzip/untar the program using Keka or TheUnarchiver (for example).
I usually put the Wine app in my ~/Applications folder instead of the system's /Applications folder because I use it only for my login and I try to keep up with the latest builds so I tend to replace it every few weeks.
Anyway, you then drag and drop the Windows executable or Windows installer program (Setup.exe or Setup.msi for example) onto the Wine app. With any luck, it will install/run.
The previous post links to Wineskin but that is not built using the latest wine source code. The Wine 5.19 build I've linked to is using the (near) latest source code.
One other thing. If you're trying to use a 32-bit Windows program (or a 32-bit Windows installer), you'll need to be using macOS Mojave or earlier. Catalina and Big Sur do not have 32-bit system libraries so they cannot support 32-bit Wine which in turn means 32-bit Windows apps cannot run. This is the main reason why I'm still using Mojave because I still have 32-bit apps I'm using (and I want to keep on using them).