GOG bundles Wine in their Linux and MacOS downloads together with platform specific wrappers. Just run that and follow the custom install wizards.
If you already have a game installed somewhere, even if it is on another operating system, just make sure that that filesystem is mounted (writable or you won’t be able to save!) and point GemRB to the relevant directory (set GamePath in the configuration file.
Just run the normal Setup.exe and follow through to the end. Remember to do a full install if you get an option.
Unshield and cabextract are two small programs that enable extracting files from the archives on the optical media — if you still have them. Check out the detailed instructions on the wiki.