Because I cannot comment, I have to give here a separate answer. ;-) A big thanks goes to user "precise". The solution mentioned by him or her worked for me at Kubuntu 18.04 and Wine 5.0 but I had to add at the path name two backslashes (and not just one).
Based at the above mentioned example this will look like:
Exec=wine "C:\\Program Files\\Internet Explorer\\iexplore.exe"
I have no idea why this is so, maybe because my Program Path is somewhat more complex:
Exec=wine "C:\\Program Files\\Steuer St.Gallen 2019 nP\\Steuer St.Gallen 2019 nP.exe"
A little update to this topic. Finally I was able to add the correct icon to the shortcut. (It was available in a hidden folder at the corresponding program location.) The extraction of the icon from the executable also worked but I was not able to use the separate *.ico file as icon source.
However, - here follows the full content of my manually generated and perfectly working Wine shortcut.
Name=Steuer St.Gallen 2019 nP
Exec=env WINEPREFIX="/home/franz/.wine" wine "C:\\Program Files\\Steuer St.Gallen 2019 nP\\Steuer St.Gallen 2019 nP.exe"
Icon=/home/franz/.wine/dosdevices/c:/Program Files/Steuer St.Gallen 2019 nP/.install4j/i4j_extf_9_1bhpfkc_1iu21cz.png
Path=/home/franz/.wine/dosdevices/c:/Program Files/Steuer St.Gallen 2019 nP
StartupWMClass=Steuer St.Gallen 2019 nP.exe
This corresponds mostly to the automatic established Microsoft PowerPoint Viewer shortcut:
Name=Microsoft PowerPoint Viewer
Exec=env WINEPREFIX="/home/franz/.wine" wine C:\\\\windows\\\\command\\\\start.exe /Unix /home/franz/.wine/dosdevices/c:/users/franz/Start\\ Menu/Programs/Microsoft\\ PowerPoint\\ Viewer\\ .lnk
Comment=Mit Microsoft PowerPoint erstellte Präsentationen anzeigen.
There were added automatically several other parameters (with mostly no value) after making the file executable. Because these have no function, I have removed them again manually.