I'm not entirely sure how or even why it has worked as I'm still new to Linux. But I was able to install games whilst in Windows, on my C Drive fine, then I loaded up Ubuntu, and used winecfg to map "D" to /media/sda2 which happens to be my windows C drive. I did originally try copying the whole game folders from my XP drive to linux, but couldnt get it working that way.
I installed opengl, and ran winecfg and set audio to ALSA, wineprefixcreate, and was able to run the games I installed via windows by running
wine "D:\World of Warcraft\wow.exe" -opengl
wine "D:\Program Files\Guild Wars\Gw.exe" -opengl
They seem to function perfectly fine, in fact I get almost 3 times more frame rates than I did in Vista. The sound is crisp, and I'm able to run sound from Wine, amarok and kopete
In regards to getting that far, it was mostly help from IRC winehq and ubuntu, some of the posts in the Linux > Software > gaming section on LQ, and the WoW+Wine guide here (some audio troubleshooting at the bottom)
Apologies for not being able to be more technically informative, but I can provide config files if needed so someone with better knowledge can explain it