To answer your second question first, '~' is shorthand for your home directory. So that pathname is actually /home/your-name/.share/skins2.
The dot in .share indicates that it's a hidden directory, so if you want to see it in a file manager you'll need to enable the option 'Show hidden files' which should be somewhere in its configuration.
Wine isn't perfect (of course) because it's trying to do a pretty amazing job, which is to emulate a Windows environment so that programs think they're running in Windows when in fact they're running in Linux. That being said, it does a very good job with some Windows programs - for example I run Routerstats and DMT with Wine, and they work perfectly. I don't know about WMP or your ballistics reticle program I'm afraid. You may get some information from
the Wine website or just give it a try and see if it works.