I didn't really need to do anything special to install Zorro using Wine (on MacOS). Just install Wine and then run the Zorro installer using Wine. However, as you can see in the thread Andrew linked, it doesn't seem to work properly. You get different results when backtesting so I abandoned Wine. (the differences were quite drastic... apparently Wine somehow processes dates differently so candles aren't being read properly).

If you continue with it, do test it on both Windows and Linux extensively and compare the results to make sure they are equal.