Saw that some people ranked it not working, but here's what I did to run it perfectly:
Install it through Steam
or, for the DRM-free version
In a fresh WinXP bottle
Configure Menu -> Manage Bottles -> Select your bottle that Monaco will be in -> Applications -> Install Sotware
Under Runtime Support Components install DirectX 9 or Microsoft DirectX (modern) - I tried both and both seemed to work
Go to Configure -> Manage Bottles -> Monaco bottle -> Advanced -> Open C: Drive in Finder -> Copy the Monaco folder into Program Files
Run Command -> select Monaco bottle choose location of Monaco.exe file -> run
That's what I did, and it worked fine!
Hope this helps