=== Do I need the Windows version of DirectX/Internet Explorer/some other Windows component? ===

Generally, no. Wine aims to provide a full reimplementation of the Windows API. You can replace some parts of Wine with DLL files from Windows, but, like any Windows code, they might rely on functions or behaviors that Wine does not provide. Windows Internet Explorer and most of DirectX does not work properly for this reason.

If an application does not start because of a missing DLL, you should try to get the Windows version of that DLL and place it in ~/.wine/drive_c/windows/system32. This is usually not necessary because application installers will install these DLL's.

In some cases when an application will relies on a function that is unimplemented or implemented incorrectly in Wine, that application will run better with the Windows version of a DLL. When this happens, you can copy the Windows DLL to ~/.wine/drive_c/windows/system32 and set an override for the library in winecfg.

It's generally not worth your time to override DLL's preemptively. Most Wine bugs cannot be solved easily with DLL overrides, and you risk creating problems where Wine's builtin implementation would work fine.