As the other answer says, the menu items are in
~/.local/share/applications/. (By the way, in Kubuntu, the equivalent of alacarte to edit the start menu is: right-click the 'K' Kickoff Application Launcher icon in the panel, and choose Edit Applications...)
But for completeness here are some other places where Wine also seems to add program info for WINDOWSPROGNAME:
~/.config/menus/applications-merged/wine-Programs-WINDOWSPROGNAME.menu references various .desktop entries, I think to create a
~/Desktop/WINDOWSPROGNAME.desktop give the program an
icon on your desktop.
gives the program a folder on your desktop.
~/.wine/drive_c/users/YOUR_USERNAME/Start Menu/Programs is Wine's
internal simulation of the Windows start menu.
There may be more, someone else also made a similar list of locations in a Recreating Wine Menus in Gnome blog post. So to completely remove all traces of a program, you could remove the first few items and edit the last one. For some of these a configuration step reads the freestanding files to build the appearance of your desktop environment; you may have to rerun that configuration step or logoff/restart before the appearance cleans up.
"Uninstalling" in the Wine FAQ suggests you can run
wine uninstaller to Add/Remove programs. I haven't tried it to see which of these five things it removes.. If you install a newer version of a program like Quicken sometimes the old one won't show up in wine uninstall even though it still has menu entries.
Even after I did all this, there were still traces of WINDOWSPROGNAME left behind.
~/.local/share/icons/ contained icons for the program and its files.