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.
Insect wings (and legs) and tetrapod limbs are analogous structures. Insects are protostomes, whereas vertebrates are deuterostomes; both lineages separated in the Precambrian from something resembling a worm (some Ediacaran organisms, such as Kimberella, have been proposed to be protostomes, whereas some others, such as Burykhia, are tentative tunicates, which are the closest living relatives of vertebrates). The arthropod ancestors of insects evolved legs in the Cambrian, whereas tetrapod limbs evolved from fins (among tetrapodomorphs, via a Tiktaalik-like stage) in the late Devonian, which themselves evolved from folds (the pectoral fins first evolved within ostracoderms in the late Cambrian or Ordovician, whereas the pelvic fins arose in jawed fish in the Silurian). The origin of insect wings is still largely unknown, but the point is that they aren't homologous with vertebrate limbs/fins.