Maybe you downloaded setup files to the Windows HDD part? I mean, on my laptop I have Ubuntu 10.10 installed with Windows, & I just moved setup.exe & other files for Portal 2 from my media/windows/downloads/games/portal 2 to the other directory which is in the Linux's HDD part (for example, /home/downloads/portal). setup ran successfully) *sorry for my English, I could've made mistakes as it's not my native language. Good luck!
