memory devices, wine ..(not the kind you drink) and exe files

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Before switching from MS to Linux, I transferred my files to a usb stick to  later transfer to Linux.   When  I tried to open the exe file with WINE, I got  an error message telling me to please insert the device and open the file as a priveleged user. Fine, but the device was already inserted. For some reason, unknown to me, it wasn’t recognized.    Further research showed that this meant that  either WINE couldn”t open this (it doesn’t work with all files), or that there was some kind of bug that prevents this. I wonder if it was from  MS, and it “spread”  to the usb stick?? If so, is there any other way of opening  the file?  WINE is a great applicatiion.. it allows you to open files from another OS,  without having to restart and go back and forth between OS’s. You can also download some applications which are normally for MS, but not all. I suppose that is probably the problem. My usb device is  only for MS. But as a usb device shouldn’t it be independent of the OS? It doesn’t have a driver. However, when checking usb sticks on a e shop website… I find that some are only for MS, while others are for all OS’s.   You just have to make sure that the one you buy is for Linux. You might have to pay  more. Otherwise… you’ll end  up like me… with files that  I can’t open. That is unless there is another way to open exe files.