Native D3DX9 dlls
d3dx9_xx.dll files are required for some games. There is a short list of known applications, as well as other details, on the DirectX-D3DX9 page.
Recent Wine now has versions of these dlls, but if you need the native versions, you can use the "d3dx9" option of winetricks. This will download DirectX 9, and extract the d3dx9_xx.dll files from it. Use the commands:
wget http://kegel.com/wine/winetricks sh winetricks d3dx9
However, you should not install DirectX with the "directx9" option as this will completely mess up Wine. (The "directx9" option is intended for developers who need to compare behaviour between Wine's implementation and Microsoft's.)
It is recommended that, when DLL overrides are required in this way, that you configure per-application overrides and install the native DLLs in the application directory (and NOT in system32).
Per-application overrides can be configured using winecfg.