This was really, really easy to get up and running if you use the Steam version.
I just installed it over Steam. I then simulated a restart and installed the VC 2005 runtime into the bottle.
It works perfectly. One of the graphics settings (not sure which) caused some of the labels in the UI to be squished up the next time I started the game after setting it though. Setting it all back to low fixed that for me, but I'll try to figure out which one it was exactly. It's really only the main menu that was messed up so if you know which button is which there you can easily still play the game even with that problem.
EDIT: I'd like to reiterate that I did not need to use a virtual machine to make a profile or grab any DLLs form a real Windows machine as a few of the posts in here (tips/tricks section) claim is necessary. This may be due to it beign the Steam version though it may not. Steam does avoid the pesky DRM issue though.