https://bugs.winehq.org/show_bug.cgi?id=41310
--- Comment #18 from Rafał Mużyło galtgendo@o2.pl --- ...well, damn...
This is a bit more tricky than the previous comments suggest, mainly cause of high risk of a false positive on problem being solved.
It seems the only dll override needed is d3dx9_31.dll. The false positives come from caching.
In the same dir as "Game Options.txt" there's 'Shadercache' dir. Once it's filled by the override, on subsequent runs things work without the override...as long as that dir isn't removed, then 'rinse, rise, repeat'.
So, Alt-Tabbing is just a symptom, wine's lib is waiting for something to end (related to writing those cached shaders), that never does.