Well the most basic thing required is WINE (WINE Is Not an Emulator or Windows Environment)
(Note you must have direct rendering enabeled use glxinfo to check)
1)Install Wine
Fedora Users : su yum install wine
or use yum Ex or use Smart Package Manager.
Ubuntu /Debian Users: su apt-get install wine
OpenSUSE: Use Yast NOTE: YOU MUST HAVE PROPER REPOSITORIES LIKE PACMAN OR LIVNA
or just download .rpm or .deb package and install.
2)Install DirectX:
Use Wine Review Directions
3) Certain Games Use Open Gl eg Warcraft 3 ,Counter Strike and dont require DirectX
Now You Can Play Some Games
4) Cedega or Wine Doors: Install Cedega by using its CVS code from www.cedega.com or well <i>buy it</i>
Maybe i will post some directions for cedega compilation. or you can get precompiled illegal version from torrent sites.
Wine Doors: Download from here
Dependencies Neede
Install Before Installing Wine-Doors
cabextract
orange
librsvg2
Now install Wine-Doors Using Terminal
If any more Dependencies are required download them.
5) WINE Config run winecfg
1)go to audio panel new Driver might be detected enable both ALSA and OSS (you must have the drivers)
2)Click Drives Press Autodetect to add your more drive location or simply use add and put drive locations.
As wine is improving more and more games compatibily is improving.
6) When Playing Games have cpu frequency set to Performance
Install kpowersave (if using KDE you already have it)