CXGames 9.0.0 and older: In order to get it to run you will need the file d3dx9_36.dll. You can get this by installing "DirectX runtime (modern)" from within cxgames, or by downloading just that file (google it and you will find it) and then drop that into ~/.cxgames/[YOUR_VANGUARD_BOTTLE]/drive_c/windows/system32/ (path will vary on Mac).
CXGames 9.1.0 and later: The game does not work with the bundled openal32.dll - so you need to start winecfg, go to the library tab, add openal32.dll and set that to native. Then the game will run just fine.
The game should then run just fine. Installing the corefonts package may also get the fonts looking better.
Configuration
The game is rather heavy, and you may want to go into the game settings and set the performance to "highest/best performance". This will give you decent settings where the game runs well (and frankly, looks good, how can this game not? :). From there you can play with increasing some settings until you are satisfied with the performance vs. visuals.
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