I'm a complete noob to linux. I just switched from windows XP yesterday. I downloaded and installed wine, but when i try to run it, I get this:

root@host:~# wine /mnt/cdrom/install.exe
err:module:load_builtin_dll failed to load .so lib for builtin L"winex11.drv": libXxf86dga.so.1: cannot open shared object file: No such file or directory
err:imagelist:ImageList_ReplaceIcon no color!
err:imagelist:ImageList_ReplaceIcon no color!
err:imagelist:ImageList_ReplaceIcon no color!
err:imagelist:ImageList_ReplaceIcon no color!
err:module:load_builtin_dll failed to load .so lib for builtin L"winex11.drv": libXxf86dga.so.1: cannot open shared object file: No such file or directory
Application tries to create a window, but no driver could be loaded.
Make sure that your X server is running and that $DISPLAY is set correctly.

What the heck does this mean? How do I fix it?

Why men, migrating from Windows to Linux, pay alot attention on the Wine?
What's the reason in installing Linux and using Windoze's applications? They
cannot work fine, it is impossible to run win's app in Linux with stability and
the same perforamnce.

This is a problem with using vesa(probably) X drivers. You need to switch them to something less generic probably.