I want to play a cool game called Just Cause 2. I have a copy, but there is a problem because it needs DirectX 11. Anybody knows how I can install that DirectX? Because I think it's only for Windows, but I don't know WinOnX is emulating Windows 7.
WinOnX is a repackaging of the Wine framework. Wine does not emulate Windows (strictly speaking), it just provides adapter libraries to allow Windows programs to run. According to this page, Just Cause 2's compatibility with Wine is rated "garbage" and it doesn't run. There is also a link to this page that shows the progress of re-creating the DirectX DLLs for Wine. As of early June 2012, they seem to be about 37% complete with DirectX versions 8-10, and there's no indication of work on DirectX 11 yet.
tl;dr: It won't work. You need to virtualize a real copy of Windows using VMware or Parallels or run Windows in Boot Camp to play a DirectX game like that on your Mac.