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Got an interesting set of problems. Video and sound are unplayably choppy.
When the game ran roughly as normal, the terminal output looked like this:
~/.wine/drive_c/Program Files/GOG.com/Shogo – Mobile Armor Division$
fixme:ddraw:DirectDrawEnumerateExA flags 0x00000007 not handled
fixme:win:EnumDisplayDevicesW ((null),0,0x33d1fc,0x00000000), stub!
fixme:win:EnumDisplayDevicesW ((null),0,0x33d4a8,0x00000000), stub!
fixme:d3d:swapchain_init Add OpenGL context recreation support to context_validate_onscreen_formats
err:ddraw:IDirectDrawSurfaceImpl_QueryInterface No interface
My sound card is a Realtek ALC655, an onboard component of a K8-MMV motherboard. Under Xubuntu, it seems to work poorly with ALSA, so I've been using PulseAudio. I have not explicitly installed any PulseAudio support in WINE.
I was told to run the following line in the terminal: padsp wine Shogo.exe
The game did not run, and the output looked like this:
:~/.wine/drive_c/Program Files/GOG.com/Shogo – Mobile Armor Division$
padsp wine Shogo.exe
Assertion 'pa_atomic_load(&(b)->_ref) > 0' failed at pulsecore/memblock.c:589, function pa_memblock_unref(). Aborting.
wine: Assertion failed at address 0x68000832 (thread 0009), starting debugger...
Assertion 'pa_atomic_load(&(b)->_ref) > 0' failed at pulsecore/memblock.c:589, function pa_memblock_unref(). Aborting.
Segmentation fault
Apparently a Pulse Audio problem.

I'm at something of a loss. Anybody here have any more luck, or think they know how to handle the problems? You may have noticed I haven't even started on the video. My card appears to be some manner of NVIDIA device, though I bought it cheap and used and as such have not yet figured out what it is, only what makes it work. I know, helpful, innit.

*Admittedly, running in this manner with only 512 MB of RAM can't be helping matters, but it is double the minimum.
This question / problem has been solved by cogadhimage
Its a known problem with this game on Wine:

http://appdb.winehq.org/objectManager.php?sClass=application&iId=5460
I looked about on there and hadn't found what I was looking for. However, I assume I missed it.
I take it this means there's no clear solution?
Well, you have two separate problems there. First, the DirectDraw error, which is the known problem I was referring to, the second being Wine does not support PulseAudio. Sometimes you can make games work on a PulseAudio based system by switching Wine's audio driver to "OSS" (Pulse is a replacement for OSS) or disabling Pulse before launching the game and using ALSA. SHOGO pretty much has a "Bronze" rating from Wine's Application Database, meaning it is really not worth trying to run it since the majority of it won't work.
Well, that makes me a sad panda, but thanks for being clear.
It seems odd. The problems I experienced weren't quite what it looked like in the screenshot, so I assumed it was a distinct problem.

But honestly, the bronze rating meaning that does rather end the matter, especially since ALSA doesn't seem to work with my soundcard regardless.