That is, it doesn't emulate the bare hardware (the "box"), instead it reimplements the required windows libraries. So, in principle, it can be as fast as native Windows.. I don't know if DX in particular has been reimplemented or if the windows version is used on top of a more low-level interface.
I get that its illegal, but when has that stopped the open source community?
 on that being illegal. IANAL, but I wouldn't see why. Also, most of the OSS community, and in particular the free software movement, base all their claims (think open licenses) on legal bases, so I think you have the wrong impression of them.
EDIT: I realized I wasn't being very helful above. If I were you I would try wine. Or the commercialy supported version of it, "CrossOver".