How to associate .exe files with wine on Ubuntu 20.04?

 To do it you will need to install:

sudo apt install -y wine-binfmt

And then you can add wine as option in "open with" dialog:

sudo cp /usr/share/doc/wine/examples/wine.desktop /usr/share/applications

In addition to that you can call exe apps normal way after setting executable bit:

~/Documents/winbox64.exe