Hi!
Don't try to run the executable by clicking on it. Open a terminal and use command line only. This not only gives you more control, but also gives a much better output for errors. Try:
cedega <path/to/executable/setup.exe>
There's a port of Unreal and UT for Linux, so you could run it natively, without the need of cedega or wine. Here is a little list of installers that might help you:
http://icculus.org/~ravage/
Good luck!
