https://bugs.winehq.org/show_bug.cgi?id=34143
--- Comment #10 from Artem S. Tashkinov t.artem@mailcity.com --- (In reply to Matteo Bruni from comment #9)
That means you're using builtin d3dx9. You have to install native to retest the original bug.
(Sometime ago we changed how the d3dx9_xx.dlls are build, you now need the native version of the correct DLL - you can use +loaddll to figure out which one is needed)
With native
d3dcompiler_43.dll d3dx9_36.dll d3dx9_42.dll
Milkdrop starts in windowed mode but then there's no graphics - just graphical artifacts. So the bug persists.