Alright, in Ubuntu, just go into the Ubuntu Software Center or Synaptic Package Manager and get the Beta release of Wine. Also download Play on Linux & Winedoors will help with compatibility.
Then you need to get a lot of crap installed (Direct X, and TrueType fonts etc) to make sure everything works right. I followed this guide to get most of that done:
http://www.overclock.net/linux-unix/504370-how-linux-gaming-explained.html
Caedis wrote...
Copy and paste these into the terminal in this order:
wget http://www.kegel.com/wine/winetrick
sudo apt-get install cabextract
sh winetricks vcrun6 allfonts allcodecs dotnet11 dotnet20 directx9 comctl32 comctl32.ocx fontfix mfc40 mfc42 msls31 ole2 pdh urlmon wininet native_mdac
If one fails, just keep going, do not ruin the installation process.
Also! It doesn't tell you but you will need to configure WINE afterwards by going in the menu, clicking 'configure wine'. Then at the bottom it should say Windows 3.1 or something. Change that to XP or Vista or 7, whatever gets your games working.
Use this website to check if the game is supported (many hentai games aren't in it yet, but that doesn't mean they don't work)
http://appdb.winehq.org/
Then download the .iso's and then right click on them and run 'archive mounter'.
Now they are CD's in your 'Computer' folder, go there and enter the CD's. Look for something that looks most like a setup.exe or autorun.exe, right click on it and run it in Wine.
It will install and appear in your Wine/Programs folder in the 'Applications' menu.
At that point, run it, and pray for it to work. It's all hit or miss.