Is it possible to set-up Linksys wag200g to work as wireless client? I want to share wireless connection on four LAN port with this device. Is it possible and how?
No.
Majority of "wireless client" devices will only work with one client.
The WAG200g will not work as a wireless client.
At this time it does not support WDS which would have allowed you to have more than one client providing the other AP was in WDS mode and compatible with the Linksys.
Linksys wag200g as wireless client, how? 
Linear Mode
