The executable it means is the executable that you are running under wine.
For example, to run Oblivion.exe you need d3dx9blah.dll, copy this file into the folder where Oblivion.exe resides, then "wine Oblivion.exe"
Also, you could copy the dll to the system32 folder that is used in wine, which would be /home/yourusername/.wine/.../windows/system32
Good luck.
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