https://bugs.winehq.org/show_bug.cgi?id=37704
--- Comment #1 from Rosanne DiMesio dimesio@earthlink.net --- I noticed this awhile ago and never got around to filing a bug. The problem affects K-Lite versions 10.7.1 and newer; older versions install fine.
If you set the Windows version to Windows 7 or 8, the content of the message changes: it complains about missing d3d8thk.dll.