Don't get DirectX from Microsoft, Wine comes with its own implementation of DirectX. Also, open up a terminal, use the command 'cd' to go to the game's directory (look up how to use cd yourself), and run wine "appname.exe" (including quotes). Wine will try to run the application and spit out a bunch of messages (probably also error messages) that you can post here. But first, make sure you have the latest version of Wine (1.1.29).
