Thought I would share my experience about how I got osu going on my particular rig. Might help some of you.
Please note that you may be prompted to change a value in a file called ptrace_scope.
Even if not prompted I recommend you change the value in the file from 1 to 0 as playonlinux complains if it is set to 1 (note that this change is temporary so if you need to restart your computer at any point during the install remember to reset this)
To edit this file just type:
sudo gedit /proc/sys/kernel/yama/ptrace_scope
(If not running GNOME then substitute gedit with your prefered text editor)
So I used playonlinux, a special automator for setting up windows games. There IS an osu script on there but I found it didn't work.
So anyway I opened playonlinux and added a game. Now in the add a game menu there should be an option for manually adding a game not listed, select that.
Name the drive whatever you want but MAKE SURE IT IS SETUP AS 32 BIT. THIS IS IMPORTANT
A menu should pop up, select the checkbox for: Use different wine version and Install some libraries
For the wine version select version 1.9.1.
For libraries to install you need to select
Dotnet4.0
Only select to install .NET 4.0, DO NOT SELECT 4.5 AS THIS MIGHT BREAK THINGS (We will come back and deal with the rest later)
When given the option to select a program to install do so. Browse to the osu installer (The new installer not the old installer) and select it. Click next and the program should install.
Now playonlinux most likely WILL complain and say something has gone wrong. Ignore this and wait until the install is finished.
Once finished osu SHOULD start. Once it starts, exit it and then select CANCEL in the playonlinux window (which should still be displaying some sort of error about the install failing)
Now click the configure button and you should see your virtual drive in there, select it.
Hop over to the install components tab and install these libraries in this order:
Dotnet30
Dotnet30sp1
Dotnet35
Dotnet35sp1
Dotnet40
Dotnet45
gdiplus
Now the installer will be a bit weird as each time you install a version of .NET it will "install" previous versions. I don't know if it is actually installing them or if it is just checking to see if they are there but it doesn't cause any problems.
Once you have finished installing those libraries go back to the general tab and select "Make a new shortcut from this virtual drive" then select osu.exe in the window that pops up.
That's it! You should be all set and ready to go! Note that while these steps worked for me they might not work for you but if they do please let me know. Enjoy!