For those who still cannot run UltraSurf with Wine, I found something that might help:
I'm using Ubuntu 10.10 (the Marverick Meerkat), with wine 1.2. Copying the dll files did not work as it kept complaining about one of the dlls, while it was there. So I found this guys note and it really worked using 'winetricks':
Remember that you should first delete the dlls you've previously copied to the wine folder and then run the winetrick command.
Also if you don't have winetricks, you should run these commands:
chmod +x winetricks