I installed this application from Synaptic and the winezgui file wasn't marked executable, however the winezgui-create-prefix one was. I needed to change permission manually to have the application load, and that might be a bit tricky for inexperienced users.
For those who have encountered this issue, the following command should fix it.
sudo chmod +x /usr/bin/winezgui
Moved to repos 0.89.6 so update it and try again.