You can map other drive letters to other locations. By default, Z: is mapped to the root of your boot drive and Y: is mapped to your home folder.
You can map additional drive letters using the "winecfg" control panel. The problem with using winecfg is that it makes it really tedious to pick a specific drive letter like J:. It doesn't let you pick, it just uses the first available letter. So, to get a specific letter you need to map all the previous letters.
To use winecfg, launch it from the Control Panel tab of the Manage Bottles window. Within winecfg, select the Drives tab. You can click the Add button until there's a J: letter. Then, select that letter and click Browse to pick a different location. The browse dialog shows the Unix view of the Mac file system, which is a bit different than how it's presented in the Finder. In particular, volumes other than your boot volume can be found at /Volumes.