There's a typo in the manual. The installer executable's name is "LFS_S3_6K_setup.exe", not "LFS_S2_6K_setup.exe" as is written in the command used to run the installer.

You can make sure you got the right file name by using the auto-complete feature of your terminal. Simply type "wine LFS_" in the terminal, and press <TAB> to auto-complete the full file name for you.

Also note that the latest version of LFS is 6R, not 6K as is presented in the outdated manual. You can download the latest version from the Downloads page, but make sure to run the "wine" command in the same directory you save the installer in (the easiest way is to download it to your home directory, as that is the current directory for your terminal when it starts).