I use XP on VirtualBox, personally, and it works well except that there is no 3D acceleration, so games run very slowly for testing. As far as speed goes, it’s better to make the .exe in VirtualBox, then test it with WINE to make sure it works properly.
The reason it says “unable to make runtime” is that it cannot find the blenderplayer.exe file. This is since WINE runs Blender from the WINE directory, not the Blender directory, so when Blender looks in the current working directory for the blenderplayer.exe, it cannot find it. Of course, you can give WINE some commands to cause it to run from the correct directory, but I’m not at home now to find out what those are.
I have two ideas of how to get WINE to properly find the runtime, and if you are willing to wait until later for an answer, I will test them both when I get home from work.