On top of what the other person said, Lutris allows you to install windows games very easily in like 3 steps.

You click the + in Lutris, and then click either "Install a Windows game from an executable" if it's an installer, or click "Add locally installed game" if it's not. In this case it's an installer, so you'd click the former. It'll then ask you to give the game a name, where you want it installed, and then where the downloaded file is. Then the standard windows installer will pop up.

At that point the game will be installed, and you can right click it in Lutris to play around with settings if you'd like. Notably, you can change things like the wine/proton version in the "Runner options" tab.

I'm kind of new to that as well, but I had some success with other games by using the command line to run it like 'wine /path/to/executable'. Alternatively, you might be able to add it to Steam as a non-Steam game, then configure it within Steam to use Proton and run it that way.

export WINEPREFIX=./your-prefix, it's where the .dll get put. Then wine game.exe. But you will likely lack some dll, install them via winetricks, vcrun2022 is often needed. Proton has them already in their prefix, but is made for Steam, thus tooling like umu-launcher and GUI launchers like Lutris, Gamehub, Heroic, exists.

Ah btw, the WINEPREFIX is just a environment variable wine needs. And honestly, wine's cli interface is quite lacking.

This is a standalone program.

Engine Unreal Engine 4