That's a tough question. I'd suggest pasting the exact error message into Google (in quotes), and see if other users had this problem. You might also check the Wine project page and see if they have alternative installers.
When i install it over terminal, there is no problem.
But another question. With Ubunutu 12.04 64bit i'm not able to install .Net 3.0 Framework, only the 2.0 version.
Does the whole thing work with the 2.0 version of the .Net Framework?