painkiller has a known bug, see the list in its appdb page http://appdb.winehq.org/objectManager.php?sClass=version&iId=5160 Sometimes there are hints in some of the test reports; at least with a very old version of wine, the third test report there says using winecfg to disable pixel shaders may help. But in general, the procedure is: 1) use latest wine-1.3.x 2) try several freely downloadable game demos that are rated platinum. (Say, World of Goo.) At least some of them should work for you. Once you have a few of those running, you can branch out to more demanding games. (Try using wisotool to find and install downloadable games; most of the games it knows how to download work.) 3) Try the game first in a new wineprefix with no kludges. If you run into a problem with a game, read its appdb page for ideas. Many of the tips there are outdated, so don't apply them before trying the game with no kludges. 4) many games expose ati or nvidia driver bugs, so you may want to get an nvidia graphics card (like a gt240)
