[Wine] DirectX

[wavery]

It's my understanding that Wine comes with DirectX support, and the FAQ strongly suggests that one not install DirectX in addition.  I've also seen in some places that it's hit or miss.  When I try to run a program I need that requires DirectX, I get the message:

Your DirectX System does not seem to be installed correctly.  You should download the latest version from Microsoft and install it.

I'm brand new to Linux and Wine so I'm not sure which direction to go here.  I've installed both on a computer that I can mess around with so I don't mind experimenting...I just need to be pointed in the right direction.  Thank you.