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I am Using Linux for the very first time And i have one question.Is it possible to install DOTA? And if it is, could someone to help me install it?
If You mean 'DOTA 2', then best option is wait few weeks - Valve have linux native in Dev Testing.
Otherwise install 'Play on Linux' from 'Software Center'. This usefull app have many ready configs for Windows applications, which are very usefull for everyone. It will work only if You have game files, installer etc.