All winged vertebrates have wings which are homologous to each other and to the forelimbs of the non-winged vertebrates. But what about insect wings? Are all insect wings homologous, and are there any homologies between insect wings and any vertebrate limbs?
Insects and vertebrates are extremely distantly related: they're on opposite sides of the oldest split among bilaterally symmetric animals. Their most recent common ancestor lived in the pre-cambrian and was almost certainly worm-shaped with no limbs at all. There's no way that insect wings are homologous to any body parts of vertebrates.
The evolution of insect wings is a somewhat difficult topic, because it happened 350 million years ago in animals that do not fossilize well. Wikipedia discusses several possible theories for what parts of non-winged insects are homologs of insect wings. Currently the situation does not seem to be resolved.