I know nothing about Skylog but your problem is you haven't installed it using Wine. The program is looking for all the extra files it needs in the "Windows" environment provided by Wine & of course they aren't there.
If you have a look in the .wine subdirectory (note the leading dot) of your home directory you'll see a directory structure matching Windows (My Documents, Program Files, windows, etc). That is where it's looking for the files. You may have to select to view hidden files.