Problems with getting Wine to load a program

Hi, I am rather new to Linux and Ubuntu 9.10. I am enjoying this OS, but am still learning a lot of things that I would guess are basics. I am trying to install a web based game and followed the instructions on their site for how to install on a linux box, but am having some serious trouble with just the simple things.

First, I loaded Wine (at least I think I have) and everything seemed to have gone smoothly with that. Then I tried to load the .EXE file into wine through my terminal following the instructions given. Below are the instructions, what I did and the answer I got... can someone help me figure out what I need to do here? I am fairly certain it will be a simple answer, but I just have no clue.

Their instructions;

With the terminal still open, you need to change to the directory that you downloaded ACsetup.exe into, this is how you do that (replace 'username' with your login, mine is matt so on the screenshot mine will be matt):
** (Make sure to capitolize the D in desktop, or the commands will not work, this is Linux, not Windows)

a.) Type in: cd /home/'username'/Desktop

What I did;

jimmy@jimmy-desktop:~$ cd /home/jimmy/Desktop

The response from the machine;

jimmy@jimmy-desktop:~/Desktop$

The websites next instructions;

Now you need to run the Acro Challenge setup file utilizing Wine, this is how you do that:

b.) Type in: sudo wine ACsetup.exe

What I did;

jimmy@jimmy-desktop:~/Desktop$ sudo wine ACsetup.exe

Response from the machine;

[sudo] password for jimmy:

I typed in my password and this is the response I got from my machine;

wine: /home/jimmy/.wine is not owned by you
jimmy@jimmy-desktop:~/Desktop$

What am I doing wrong?

Thanks for any help that can be given!