First I updated Wine to 1.0.0 (It didn’t work properly on 0.94) on Ubuntu.  In there I have D as the CDROM drive. So I typed wine d:\install.exe  This installed just fine

Here’s what happened with 0.94 when I first started this post:

But the first time I clicked to play it, it did not work. The screen just went blank.
When I restarted X, edited the registry keys as it says to do on the Wine site and started it up, this time it started up
When I tried to play the first campaign it froze up Gnome so I restarted X again
Wine FAQ says the movies folder should be renamed for stability reasons

Then, a few months later I updated to Wine 1.0 and suddenly it worked just fine and I was able to get into missions.  So Wine continues to improve and you can play more and more of your Windows games on Linux.