[Wine] Installing Directx 9.0c problem

[Kowak]

Hello guys :D
i'm a new comer in ubuntu ;)
i installed few days ago Wine for play Win game but i know that need Direct x to do it so i found this post : http://www.wine-reviews.net/wine-reviews/games/how-to-install-directx-in-linux-using-wine.html

i did all that the writer wrote but when it says "launch direct x 9.0c install it gives me this error :

The file '/home/davide/Scaricati/directx_9c_Dec04sdk.exe' is not marked as executable.  If this was downloaded or copied form an untrusted source, it may be dangerous to run.  For more details, read about the executable bit.

So i dont know what to do now
Can anyone explain me what is the problem?

I added to the libraries in config file :
[Software\\Wine\\DllOverrides] 1206264929
"d3d8"="builtin"
"d3d9"="builtin"
"d3dim"="native"
"d3drm"="native"
"d3dx8"="native"
"d3dx9_24"="native"
"d3dx9_25"="native"
"d3dx9_26"="native"
"d3dx9_27"="native"
"d3dx9_28"="native"
"d3dx9_29"="native"
"d3dx9_30"="native"
"d3dx9_31"="native"
"d3dx9_32"="native"
"d3dx9_33"="native"
"d3dx9_34"="native"
"d3dx9_35"="native"
"d3dx9_36"="native"
"d3dxof"="native"
"dciman32"="native"
"ddrawex"="native"
"devenum"="native"
"dinput"="builtin"
"dinput8"="builtin"
"dmband"="native"
"dmcompos"="native"
"dmime"="native"
"dmloader"="native"
"dmscript"="native"
"dmstyle"="native"
"dmsynth"="native"
"dmusic"="native"
"dmusic32"="native"
"dnsapi"="native"
"dplay"="native"
"dplayx"="native"
"dpnaddr"="native"
"dpnet"="native"
"dpnhpast"="native"
"dpnlobby"="native"
"dsound"="builtin"
"dswave"="native"
"dxdiagn"="native"
"mscoree"="native"
"msdmo"="native"
"qcap"="native"
"quartz"="native"
"streamci"="native"

ah another thing, sorry for my ignorance, but in this passage :
"Setup core files" when u should copy dll inside system32 in wine folder it says to me that there still are these dlls and after this when i open terminal and write :
cp mscoree.dll ~/.wine/drive_c/windows/system32/
cp streamci.dll ~/.wine/drive_c/windows/system32/

it says cp: impossibile ...