Thanks for your help. Everything is now running fine.

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3D GameStudio A8 install guide for Linux:
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- Install Wine for Linux (version 4.0.2 is tested and works well)
- Install latest Winetricks from https://wiki.winehq.org/Winetricks
- Create a 64 Bit Wine prefix
- Running winetricks, choose standard wine prefix -> install WIndows DLL. Install d3dx9_43, mfc42, ogg.
- In Winetricks -> choose standard wine prefix -> install fonts: Install all Microsoft fonts.
- Navigate to https://www.microsoft.com/en-us/download/details.aspx?id=14632 and install Visual C++ Libraries x64 manually using Wine.
- Download "mfc42d.dll" from https://de.fix4dll.com/mfc42d_dll and copy it to /home/yourUsername/.wine/drive_c/windows/syswow64

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Enjoy WED, MED, SED and Gamestudio laugh . It runs very well.
I recommend to use the native Linux programs "Geany" instead of "SED" and "Blender" instead of "MED".