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It is looking for a `Data` directory, copying from the Windows doesn't work, because it's looking for a .so library in there as well.  

I'm starting to think that the best way (I don't like it, and it feels hugely kludgey) is to just run the Windows version under Wine.  

This seems to be what a lot of the engine and platform providers think is, "providing Linux support".  Make sure that there is a wine version it works with.