It's hard for me to understand some of the mentioned setting tweaks in the EU3 thread, as I never had these issues with HOI3. It runs perfectly out of the box. Only issues I have are some crashes, and those may come from the crappy ATI drivers. Other users are reporting hours of stable game play. I bet this is not just luck, Paradox probably worked towards this. Install the game, install dotnet and directX via winetricks, few more registry keys and voilà. To get a windowed HOI3, simply emulate a virtual desktop via winecfg. That's it. No fonts, no settings.txt, no nothing...
A sticky would be cool though, maybe someone could write a guide like the EU3 one.
BTW, d3dx9_36.dll is needed to make the game run, but installing dx9 with winetricks covers d3dx9_36.dll _and_ enables in-game music. That a good reason for not just copying d3dx9_36.dll...
msvcp60.dll is probably from the msvc redistributable offered by the HOI3 installer, so no need for this either.
Never mind d3dxof.dll, it's either not needed or also covered by installing DirectX 9 with winetricks.