How do I unblock non-executable packages in Ubuntu?

Whilst trying to run my newly installed Zune package via Wine I get this:

“Blocked: wine start /unix”
“The file ’/home/(my name)/Downloads/
ZunesetupPkg.exe’ is not marked as executable. If this was downloaded or copied from an untrusted source, it may be dangerous to run. For more details, read about the executable bit.”

Ok, but the problem is, I can’t manage to modify the bloody .exe permissions, even if I do visit the executable bit site.
Help!