http://bugs.winehq.org/show_bug.cgi?id=24420
--- Comment #2 from 3vi1 winehq.org@eternaldusk.com 2010-10-09 13:43:35 CDT --- Looks like this is not a Wine issue:
A quick peek at the debug channels and source shows the real issue:
dx5_logo.bmp is not included in the zip. If you create a bitmap with that name, it will run fine.
This example code wraps its calls to DXUtil_FindMediaFile and D3DXCreateTextureFromFileEx in a THR() macro, but that macro does not throw an exception and exit (it only writes to debug channels and continues).
This should be closed as invalid/bad-microsoft-example-code.