Can't install .exe file in LXDE?

Hello guys, i'm trying to install an .exe file (or any .exe files) in LXDE, but it doesn't work for some reason...
I have followed the guide from this site: https://wiki.winehq.org/Ubuntu
And still doesn't work.. The problem is that the Wine program itself installs, but when i i double click on the .exe file nothing happens..

But when i use XFCE4 and do the exact same steps it works just great...

Does anyone know what the problem may be?

The "code" i used to install LXDE is: "sudo apt-get install --no-install-recommends lxde-core"