Yeah, I had that issue after trying to install Civ IV: Colonization. What I did was press Alt-F2, enter "regedit", and do search (Ctrl-F3) for dxdllreg. I deleted the entry I found there (I exported the key first, just to be safe), and now I'm not seeing that annoying message any more.
It doesn't matter what program I run under wine, I always get the "***.exe has encountered a serious problem, and needs to close." The *** is the name of the program I am running, it is NOT always the same thing, as this post currently seems to refer to. I tried the PPA for Karmic, to upgrade to 1.1.33, but same issues. Any ideas?