Transgaming's winex is available for free from
http://www.transgaming.com/sources.php.
You need to pull the sources using CVS and build it yourself, but it's free
It was very easy for me to set it up. Than again I'm a hardcore Linux user and I can honestly say that building and installing binaries on your own is not rookies.
For more details on running CofH on Linux, please check out the forums at
http://www.gentoo.org.
I am running gentoo linux and CofH runs fine on my machine. The only annoyance is that the mouse cursor is just a white blob. But I can deal with that.
I noticed that to get the best experience you'll want to start X without a window manager and run cofh from there. Otherwise you'll get an annoying WM border around your screen.
Yes it is a hassle to run games on Linux. The truth is, most of us chose Linux for reasons other than playing video games, but that shouldn't stop us from playing games that are meant to run on Windows only.
