To get this working for Firefox all you have to do is:

Make a runable bash script

echo '#!/bin/sh' > ~/.browser2spotify
echo 'exec wine "C:\Program Files\Spotify\spotify.exe" /uri "$@"' >> ~/.browser2spotify
chmod 755 ~/.browser2spotify

Add settings to Firefox

First open the config window (type about:config in the address field).

You now want to add the following options:

network.protocol-handler.external.spotify = True
network.protocol-handler.app.spotify = ~/.browser2spotify

The last option may vary depending on where you put your browser2spotify script.

You can find everything in this post at http://www.spotify.com/en/help/faq/wine/. They also have a howto for Opera.