TLDR: use a prefix manager instead of plain Wine

You can install them anywhere, but if you're using plain Wine, I'd suggest you instead go with something that will manage these locations for you.

Each Wine setup has what is called a "prefix", which in the simplest sense is just a folder that is setup like a Windows C:\ drive, and includes all the shared libraries and bits needed to run the game. When a program run is launched, it is locked into this prefix, so when it goes looking for files as it would on Windows, it's going to find a familiar folder structure, including installed dependencies like MS VC libraries and DirectX stuff.

Now...when you as a user are just using Wine directly, you'd generally be using the SAME prefix to install multiple games, which is hard to manage, and just clunky.

Prefix managers like Proton, Lutris, Bottles and even Heroic will make a new prefix for EACH program, making things like troubleshooting, switching runtimes, or invoking custom configs per program a LOT easier.