http://bugs.winehq.org/show_bug.cgi?id=17730
--- Comment #2 from Sam skipsey aoanla@yahoo.com 2009-03-15 10:24:32 --- Appears to be an issue known to people posting on the Cedega wiki:
http://cedegawiki.sweetleafstudios.com/wiki/Painkiller
so the problem is almost certainly common to Cedega and "proper" Wine.
The solutions suggested there are: download savegames from a link they provide on the wiki to bypass that level, or wait "15 minutes" for the level to load (apparently this isn't actually a hang, it just takes an order of magnitude more time to load this level than any other level in the game).