(It's not a VM, incidentally. You're running as a native process, just with a very strange set of win32 dlls)
To expand: the default wine configuration sets up all the explorer shell folders, and the following ones are mapped into the user's home directory: Desktop, My Documents, My Pictures, My Videos, My Music. There's no firm guarantee that the target directories will exist, but the mappings will if the user hasn't moved them. All the other shell folders will point into ~/.wine/drive_c/ somewhere.
In particular, the default mapping for 'My Documents' is normally the user's home directory itself.
You can also find the root directory mapped as z:, but without talking to some real unix applications you aren't going to be able to figure out where stuff can go there. A user could find their way around it though.
The Z drive being magically mapped onto an alien FS sounds pretty virtualized to me ;-)