Forgive me if I ask stupid questions about things you may already know but, are you "in" the directory which contains jasp.exe? You know about changing directories with the "cd" command right?
skip the following if you understand about changing directories..If not, you have to get into that directory, otherwise it won't work. It's kind of like asking someone in your home to do something. If you ask them from the room you are in, and they are down the hall in another room they can't do what you ask because they can't hear nor see you. So you have to go down the hall and into the room where they are so they can see and hear you asking them.
Lets say jasp.exe is in the Jedi Acadamy file, which is in a "games" file which is in your /home directory. As an example, to get there you have to go:
cd /games/Jedi\ Academy [enter]
Once in, you then do:
winex3 jasp.exe [enter]
or to save time you could go:
winex3 home/RuloMaloR/games/Jedi\ Academy/jasp.exe [enter]
Again, forgive me if you already know about all this, but you said you were a Linux newbie, and I thought maybe I could save us some time if you didn't...
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