http://bugs.winehq.org/show_bug.cgi?id=11487
--- Comment #3 from Vitaliy Margolen vitaliy@kievinfo.com 2008-02-06 12:58:05 --- (In reply to comment #2)
Not exactly sure what you meant about "Have you tried to remove / rename ~/.wine directory before reinstalling Steam?"
rm -rf ~/.wine
Your configuration is broken. When Steam complains about version of DX that means something was not properly installed. Refer to AppDB Steam page for instructions on how to completely reinstall Steam.
If it still does not work, attach screen-shot of the exact error you receive.