winecfg is the Wine configuration editor. It allows you to change several settings, such as DLL load order (native versus builtin), enable a virtual desktop, setup disk drives, and change the Wine audio driver, among others. Many of these settings can be made on a per application basis, for example, preferring native riched20.dll for wordpad.exe, but not for notepad.exe.
Bugs can be reported on the Wine bug tracker.
winecfg is part of the Wine distribution, which is available through WineHQ, the Wine development headquarters.
Wine documentation and support.