WINE lets you create isolated (well, semi-isolated...it's not a sandbox, but separate Windows registries and most drive letters and such) directories. That directory is called a "WINE prefix". Contains symlinks to Windows drive letter locations, a copy of that WINE environment's registries, the WINE settings being used. I believe that the "Z:" drive defaults to being shared and mapping to "/" on your Linux box.

I believe that the default WINE prefix is ~/.wine.

But you can create others. Like, maybe you want a 32-bit and a 64-bit Windows environment.

You can run a given executable in a given WINE environment by just setting the WINEPREFIX environment variable, like:

$ WINEPREFIX=$HOME/.mywineprefix wine Foobar.exe

It's become somewhat common to create a separate WINE prefix for each application, especially games, which don't need to interact with each other. That way, installing software in one prefix or whatever doesn't dick up the others.

I don't use Lutris, but if it works anything like PlayOnLinux, it might create a per-game WINE prefix. I don't know where it's located, though. Can probably search online.

Steam creates a per-game WINE prefix for Steam games that use Proton, their version of WINE; it uses ~/.steam/steam/steamapps/compatdata/ for each.