WINE is a piece of software (an emulation layer if you want to get technical) which lets you run certain Windows applications on Linux systems. So it's very handy for penguin lovers who still have one or two (WINE-supported) Windows apps they want to be able to run.
Atomic mag have helpfully published a guide to installing WINE. As a bonus, it also includes instructions on how to get Valve's most excellent Orange Box game running with WINE. Sweet!
Installing WINE [Atomic]