I often use Windows software on OS X, and I do like PortableApps as they do not need installation. For running Windows software, I use Wine (the open source relative of Crossover), and I always create an icon to click on to open Windows software.
Creating these icons is quite simple: you just need one AppleScript for each Windows application. Here's what the script looks like on my Mac:
do shell script "/Applications/Wine.app/Contents/MacOS/startwine /Users/myuser/Programs/ASP32/Asp32.exe"
Mac OS X Hints
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