You will need to make a 'Virtual Machine' that will run on top of your Linux environment. What it does is create a magical environment that you can install any operating system on. Make sure you have your favorite windows install CD or ISO handy.
1. The program that I found is called virtual box. The deb package is called virtualbox-ose, but it maybe be different for other distros. Once you have the virtualbox installed, you can launch it by typing 'sudo virtualbox' in the terminal. I made a nifty launcher on my panel, use gksu instead of sudo to get the graphical password thingie.
2. When the GUI loads click the new button to launch a wizard that will get you started creating your magical virtual machine. It is pretty self explanatory.
3. When you come to the part about making the hard disk select new and another wizard will launch which will make a .vdi file which represents the hard drive that is used for the virtual machine. You can make it "fixed" or "dynamic", meaning the .vdi file will be a fixed XGB or will steadily increase in size as you use more space in the VM. I found that when I told it to do dynamic, I got hard drive space errors when trying to install UO, so i recommend you make it fixed. The size is up to you, whatever your install requires.
4. The hard drive is the last thing to set before the wizard closes. Now you can select the machine and click the settings button. Here you can set up all the things for the VM. It is really self explanatory again, but I will point out a few important things here.
5. The General tab has a place where you can adjust the amount of memory and video memory. The CD/DVD drive tab is where you set your windows install CD to mount, or any other CD you want to mount to the VM. The Shared Folders tab is where you can set it up to access files from your Linux machine, say for accessing UO install .exes or whatever. It will be accessible through a network drive in "My Computer".
6. Once you have it all set up click the start button and it will pop up a window that is your virtual machine. There will be no OS installed the first time and the mounted ISO/CD/DVD should boot at startup. Just install windows like on any other machine and there you have it.
7. After windows finally finishes installing there is a cool thing that you can install that expands the usability of the VM window and integrates it with your desktop. Click on the Devices tab at the top of the VM window to install the Guest Additions. I like the seamless mode. You can switch between different modes with a host+ macro. The host is set for right ctrl by default, but you can change it in the options if need be. host+L is for seamless, host+f for fullscreen, host+i for mouse interaction.
8. Install UO as normal and play!
This is just a short introduction to a very powerful program that is available for Linux users. I was absolutely blown away when I first saw this in action. I hope that this helps some of you penguin lovers out there, and if anyone has anything to add, please reply!
