http://bugs.winehq.org/show_bug.cgi?id=12812
--- Comment #8 from John john.ennew@gmail.com 2008-12-21 05:16:10 --- You need to install msxml3. You can do this using the winetricks script. Go to the directory civ4 is installed into and get the winetricks script using this command:
wget http://www.kegel.com/wine/winetricks
Then run the following command:
sh winetricks msxml3
I needed to copy the files d3dx9_31.dll and d3dx9_32.dll into the root of the Civ4 directory as well. Do a search on google and you should be able to find them.