I found that they just don't know about the existence of wine. I speak of users who even don't know that it is not possible to install Windows software directly in Ubuntu (without wine).
It would be helpful and easy for those users if they would see a message dialog, when they double-click an exe-file. This dialog could explain that they want to open a Windows program and that they could try this by using wine.
Then they should have the possibility to cancel or to install wine. After the installation the exe-file should be started with wine automatically.
UPDATE: In the dialog there should be a brief explanation that not all Windows-software will work in wine and that there might be a better linux alternative. Maybe also a link to the wine website.