I installed ICQ in Windows XP
I want to run it on linux(Suse 9.2)
My harddisk partitions
c: <-------> /dev/hda1
ICQ installed( D:\Program file\icq\icq.exe) <------>/dev/hda5(/mnt/program/Program\ Files/icq/)

I run wine icq.exe
The following messages come out:
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQMUtl.dll") not found
err:module:import_dll Library ICQMUtl.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQMUtl.dll") not found
err:module:import_dll Library ICQMUtl.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQUIex.dll") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQUIex.dll") not found
err:module:import_dll Library ICQUIex.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQMUtl.dll") not found
err:module:import_dll Library ICQMUtl.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQSock.dll") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQSock.dll") not found
err:module:import_dll Library ICQSock.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQMUtl.dll") not found
err:module:import_dll Library ICQMUtl.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQPlug.dll") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\ICQPlug.dll") not found
err:module:import_dll Library ICQPlug.dll (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe") not found
err:module:import_dll Library MFC42.DLL (which is needed by L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe") not found
err:module:LdrInitializeThunk Main exe initialization for L"Z:\\mnt\\program\\Program Files\\icq\\icq.exe" failed, status c0000135

but it is OK if I run other things like winzip setup file.
just want to know what is the problem

You do not need to use WINE in Linux. Use GAIM and console programs like zip and unzip. There are gui programs like ark and file roller that does handle zip files.

If you must use WINE, like the errors is saying. Common sense should tell you that you need MFC42.DLL and ICQMUtl.dll.