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Hello!
Im just going to copy what i found on reddit (first ever usefull thing found there)

"Windows Game Installation Guide (v38 works for v39 aswell)
So, I'm aware that there are several guides on this matter, and I'm not sure if this will still work with v39 since I'm afraid to update, but here is my version that works 95% of the time. I hope it helps at least somebody.

For sake of this guide, the game is “Batman”

-Put installation file in “Windows_Installers”
-Rename “setup.exe” or equivalent to ”Batman.exe”

-Go to the “Windows” folder in the Batocera home screen, and in the “Install a new Windows game folder you should find the installation file. Open it.
-you’ll get a blue screen, but it will pass. On the first screen of the installer (usually language selection) instead of selecting an option, Alt + F4 your way out of there.
-back in your Batocera “Windows” screen, there should now be “Batman”. Click on it. This will bring you to a new file manager.
-go to /Desktop/My Computer/Control Panel/ and open “Add/Remove Programs
-Click the “Install” button
-Navigate to /userdata/roms/windows_installers/Batman/ then change “Files of type:” to “Programs (*.exe) and click on your renamed setup file.
-now follow the on screen instructions until it asks for your installation folder, and choose “Browse”
-scroll up until you see “(C:) and click on “Program Files (x86)” and press “Okay”
-now uncheck any boxes that will create an shortcut or a start menu folder and opt out of any Direct X or C++ updates. And install.
-wait for install to finish.

-Go to Batocera homescreen, and press F1 to get to our file manager.
-Go to /roms/Windows and rename “Batman.wine” to “Batman.pc”
-click on “Batman.pc” and once you’re in, press F3 to make a split window.
-in one of the windows go to /drive C/Program Files (x86)/Batman/ and find the .exe file that starts the game. Copy the address in the bar, starting with the /drive C/ folder, then take note of the name of the .exe (it’s case sensitive, so for this example it it will be BmGame.exe)
-in the other window open “autorun.cmd”
-delete the “#”s , the address path and the name of the executable.
-your final product should look like this:

DIR=drive C/Program Files (x86)/Batman
CMD=BmGame.exe

-Go to “File” and Save. Then Quit. Exit file manager to the Batocera home screen
-Update Gameslists then you should find a playable link in your Windows folder.

Enjoy!"
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