This is not necessary. I had similar problems (using Wineskin on OS X). I then inspected the .lnk-files (Windows shortcuts) to discover that GMDX.exe needs additional EXE flags to boot up GMDX correctly.
For Windows these flags were:
INI=..\GMDX\System\gmdx.ini USERINI=..\GMDX\System\GMDXUser.ini log=..\GMDX\System\gmdx.log
…but for my Wine usecase this worked:
INI=C:/DeusEx/GMDX/System/gmdx.ini USERINI=C:/DeusEx/GMDX/System/GMDXUser.ini LOG=C:/DeusEx/GMDX/System/gmdx.log
(for anyone looking for the same answers as I did)
tacotexmex
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