To cover the issue of why it comes up (rather than how to fix it, as fossfreedom has covered)
I mean it is the PPA for Wine. That's like 99% official
But how do you know that the packages you download are from the server you think they are from and not from someone intercepting or redirecting your connection and giving you the wrong files?
The package manager is telling you that it cannot trust/authenticate that the real source of the files you are getting.
The GPG errors are saying that the packages are telling you that the packages can be trusted to come from some person X (like the Wine development team), however it does not know that you trust person X yet. (Stuff still works because it is not told either way and so it cannot assume person X is bad).
Adding the key says that you trust that person X (identified by the key ID, e.g. 40976EAF437D05B5 is for the official ubuntu archive). Normally, you can trust where it came from (gives the correct id), and as the ubuntu keyserver is used for ubuntu stuff and has basically the keys for everyone with a ppa you get the right key (identity).