GTA Settings runs fine here. Winex 2.2.1. 
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In order to run "GTA Settings.exe" you need a legit Windows install (so you have MFC42.DLL to be specific). The DLL needs to be in your WineX "windows\system32" directory. 
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no need to use the setup tool, drop this into your system.reg:

[Software\\DMA Design\\Grand Theft Auto]
"Language"=dword:00000000

[Software\\DMA Design\\Grand Theft Auto\\Controls]
"Control 0"=dword:000000cb
"Control 1"=dword:000000cd
"Control 2"=dword:000000c8
"Control 3"=dword:000000d0
"Control 4"=dword:00000039
"Control 5"=dword:0000001c
"Control 6"=dword:0000001d
"Control 7"=dword:0000002d
"Control 8"=dword:0000002c
"Control 9"=dword:0000000f