Problem using Wine to open RMSetup.exe - 'Failed to open output file'

I am new to macs so I have been researching forums for how to use Replay Music on a Mac. I understand that you have to use a program like Wine as there are different operating systems.

I have downloaded and installed Wine and downloaded the RMSetup.exe file. When I Crtl+click the RMSetup file, I get the option to 'Open With' and then 'Wine (default)'. So I do that.

I then get an option to 'Run directly in Users/ etc.' or 'Convert to simple OS X Application bundle with Winebottler'.

Regardless of what option I choose, it has the same result - It appears to start installing and then always comes up with an 'irsteup' error message saying 'Failed to open output file'. I think the error message is coming from the X11 application.

When looking at some forums, they talk about Ubuntu - do I need to install this already if I have Wine insalled?

Sorry if I'm being a noob, I have used PCs for 15 years and literally got a Mac last week. Replay Music is pretty much my favourite program out there and I would love to be able to carry on using it. PLEASE HELP!