The problem is not Wine related
We don't know that. It depends on why he feels the need to set the file as executable.
If he is trying to run a Windows *.exe file in Wine then he will receive an error message that it won't run because it's not marked executable. But Wine itself doesn't care and cannot determine if a Windows file has a Linux executable bit set. The solution specific for Wine is to change the file association to bypass something called cautious-launcher which my link details.
If this was originally a linux file that's now on an ntfs or fat32 partition that he needs to make executable then that's another matter. He will need to configure mounting parameters in fstab that will enable a "view" of those windows partitions that make it appear to have files possessing the enabled execute bit.
My post was not intended to contradict your post. It was to offer a solution based on why he needs to set that specific file executable. There is no need to set all ntfs files as executable if the only reason is for Wine use.
Also, based on his description of the problem we are both assuming that he he's trying to do this on a Windows filesystem since it fits the symptoms. It could be that he's trying to do this to a file on a CDROM.