If you lose your connection while playing (your character cannot move, and any other characters and NPCs on-screen will cease all activity), normally Guild Wars would pop up a dialogue window asking if you would like to attempt to reconnect. Unfortunately, this window never appears in Crossover.
In order to reconnect back into the zone you were in, DO NOT close the game normally. If you do, you'll be sent back to the last outpost you visited. Instead, you need to force Guild Wars to end prematurely. In Ubuntu, for example, this can be done by going to the System menu -> Administration -> System Monitor, highlighting "Gw.exe" in the Processes tab, and clicking "End Process". Mac users will want to use "Force Quit" from the Apple menu. Wait a few seconds for the process to clear, then open Guild Wars in Crossover again. When you log back in, a message will appear at the character selection screen asking, "Guild Wars did not cleanly disconnect the last time it was run. Would you like to attempt to reconnect to the previous session?" Click yes and it will reconnect you back into the zone where you disconnected with your party.
Note that this is only necessary if you were in an instanced zone, such as an explorable area, mission, or dungeon. If you are disconnected in an outpost, it makes no difference.
Also note that there is a server-side 10-minute time limit from when you first disconnect to reconnect. If you don't reconnect in that time, the game will return you to the last outpost you were in.