Create a folder in your Home directory (eg-dsdplusfl or whatever you want to name it) and copy all the relevant DSD+ files to that folder.
Also within that folder copy the bash script below again giving it a suitable name (I call mine "run-dsd+" as that's what it does)
wine DSDPlus.EXE -rp -O NUL
To run it from the desktop, create a desktop launcher to call the bash script in a terminal and that, all being well, should set the wheels in motion. Adjust the DSD+ parameters to suit your requirements if you need to. Also you'll probably need to play around with PulseAudio settings to pick up the relevant audio feed.
The only issue I've found, is that it fails the update check - something about a tcp error - but I get around that by getting updates from a Windows version once I see them announced on this forum.
Hope this helps.
PS: I've not tried it on a Pi myself, but as you say, it could be challenging - good luck.