Linux

TLDR: use a prefix manager instead of plain Wine

You can install them anywhere, but if you're using plain Wine, I'd suggest you instead go with something that will manage these locations for you.

Each Wine setup has what is called a "prefix", which in the simplest sense is just a folder that is setup like a Windows C:\ drive, and includes all the shared libraries and bits needed to run the game. When a program run is launched, it is locked into this prefix, so when it goes looking for files as it would on Windows, it's going to find a familiar folder structure, including installed dependencies like MS VC libraries and DirectX stuff.

Now...when you as a user are just using Wine directly, you'd generally be using the SAME prefix to install multiple games, which is hard to manage, and just clunky.

Prefix managers like Proton, Lutris, Bottles and even Heroic will make a new prefix for EACH program, making things like troubleshooting, switching runtimes, or invoking custom configs per program a LOT easier.

You can install them wherever you want.

No, not at all. By default Wine should offer your whole Linux drive on Z:, so you can choose whatever location you want.

Heroic puts the games in ~/Games/Heroic/gamename but the .wine folder in ~/Games/Heroic/prefixes/gamename. Steam does something similar.

You should also consider using a helper like Lutris, Heroic or Bottles. They create a separate .wine folder for every game. That way it is easier to manage multiple conflicting libraries and Wine versions. If your home is on BTRFS or other deduplicating filesystem the additional space needed for multiple .wine folders is almost zero.

If you don't want to use a helper program you can still utilise multiple non-standard .wine locations with the WINEPREFIX environment variable.

No, you can install them whetever the config is