Everyone is partly right, but no one is really telling you the whole story.
Some programs require registry entries to operate. Those must be reinstalled from wine in linux or they will not run. You can symlink to the original Windows install directory if you really want to, but if you have enough hard drive space I would not bother.
Some programs require DLLs and OCX and other files, usually found in the Windows/System32 directories, or syswow64, etc. Those don't need to be reinstalled from wine in linux, but you will have to find the files they need and copy them to the wine prefix directory. You can symlink to the original install directory and they should run just fine.
Some programs do not require either of the above, and will run just fine from wine in linux WITHOUT being reinstalled.
So the answer is that not every program is the same - some require missing files, some require installation, and some will run as-is.
Generally speaking the more complex Windows programs will require installation. Many simpler programs, mostly games and utilities, will run just fine as-is, no reinstallation required.
Check the wine application database (http://appdb.winehq.org/) to find out how compatible your favorite Windows programs are with wine/linux. Some work great, some have limitations, some have serious limitations, and some won't work at all.
Some versions of photoshop work great, some work so-so, some don't work at all. Look here:
http://appdb.winehq.org/appview.php?appId=17
From linux you will be able to access ALL of your files on Windows partitions, including movies and music.