Happy to report that it mostly works in Ubuntu 9.10 with Wine 1.1.33
I chose all default options. It put it into "C:\Games\Live for Speed", really /home/rayok/.wine/drive_c/Games/Live for Speed and that works fine.
It created 2 shortcuts on the desktop. A windows .lnk that doesn't work and a .desktop one that does, neither of which have the icon set correctly. Looking at the .desktop contents, it refers to the correct icon file, it just doesn't display correctly probably because of naming. The shortcuts it created in the menu are fine however so if you just copy those to the desktop/panel you'll be ok. I guess some of the shortcut problems are due to Wine creating the .desktop from the .lnk.
The file associations almost worked too. The icons display correctly in nautilus except when executed a windows dialog just says "File not found" and exits. I think this is also due to Wine too because the registry entry is correct "C:\Games\Live for Speed\LFS.exe "%1"" and wine should map C:\ to /home/rayok/.wine/drive_c but does not. I haven't tried to fix this one..
Before when creating a shortcut to LFS.exe I would always have to make sure the relative "working directory" is correctly set before launching otherwise nothing is found. A small cd command in a .sh file was all it took to fix that however. Overall, nice installer!
Just a few problems due to Wine I think but nothing you can do about those.