Hi StreetWise, welcome to winmxworld!
We've got a help page for running winmx under Wine on Linux here
Generally speaking I'd recommend using the latest stable release of WINE (currently 1.0.1). with that is works fine pretty much out of the box.
If your Ubuntu has an earlier version you can add the repositories of winehq to get the latest version, more information here.
If that doesn't work for you either we need more information and eventually some console output, but give it a try with the latest version first