There are a bunch of ways to make use of WINE on Linux. Bottles is one. If you just double clicked the .EXE, you're going through stuff Zorin sets up to make Windows apps more seamless rather than Bottles, so what I can actually offer is vague, as it's not the method I use, but it might put you on the right track. I'll also provide some information for Bottles and Steam, since they might be easier to get going.
MFC.dll is Microsoft Foundation Class, and a lot of applications will look for it. My first recommendation would be to start Winetricks (you may need to install it), and look through its menu for a dependencies section. As I recall, there's a dependencies section, and you may be able to add MFC or Microsoft Foundation Class there. I apologize again for being vague; this isn't the method I use for running Windows stuff.
As a corollary of sorts, you may be able to grab mfc42.dll from a Windows computer and copy it to whichever directory houses your application, but I caution you against just downloading a loose DLL unless you're ABSOLUTELY CERTAIN the source is trustworthy. In this case, I wouldn't do it unless it came straight from microsoft.com.
The next easy method would actually be to try using it through Steam. I encourage you to uninstall your previous attempt first. If you install Steam (free, and available for Linux), you can click Games > Add a Non-Steam Game to my Library, and browse for GlassEye2000's installer. Running this way will go through the install process and create an entry in your Steam library for the installer, which isn't exactly what you want, but it's the first step. Right click the installer entry in the library, choose Properties, Compatibility, and check the box to use a compatibility tool. You'll probably want Proton Hotfix from the drop down. Run the installer from the Steam entry, and go through installation. Repeat the process of adding a non-Steam game, but this time browse for and add Glasseye's actual, installed .exe. Again, it'll create a listing in your Steam Library. With luck, you'll be able to run it from that (again, after enabling a compatibility tool as with the installer). You should be able to create a desktop shortcut through right click menus on that listing, and can remove the installer entry from your library too.
Finally, you mentioned Bottles. This is actually the method I use most for everything but Steam games. For Bottles, you can follow the instructions I wrote for Diablo 4 over here, just replacing Battle.Net with Glasseye. If it misses mfc42.dll in Bottles too, you can go into the bottle's settings the same way as updating the runner (that's explained in the link), but go into the dependencies menu and search for MFC or Microsoft Foundation, and install from that menu. I THINK it's in that list, but I am currently, lamentably, on Windows at the moment and can't personally check.
I hope some of this helps get you on the right track, and apologize that I can't provide more precise instructions, not currently being on Linux.
EDIT: I skipped an important step with Steam, of setting compatibility. Without that, it won't work. Instructions updated.