My icons show a gear that says DOS or whatever. I don't see how to change them. I should be able to view properties and change the icon like any other app. I'm running kbuntu.
Do you mean in your regular file manager? This isn't a question about Wine, but more about your file manager then. Try setting a different icon theme, I've got one which changes exe files into blank pages with a Windows logo inside them. I believe changing the association to programs also changes the icons, depending on your window manager and file manager.