Install 'FuriousIsoMount' from synaptic/software manager. I've used this to install a few games in wine which come as mdf install files. Works great.
All you do is mount the mdf in furious (or furius, can't remember how it's spelt), and it will have the mounted mdf in your /home/user folder, open, right click exe and open with wine as usual.
Hope that helps.