To build on what snowpine said, your best course of action is to find a native Linux equivalent to the application you want to use. For example
GIMP instead of Photoshop,
KoulourPaint instead of MSPaint,
LibreOffice instead of MSOffice,
Any one of a number of media players instead of Windows Media Player,
and so on.
*.exe files will not run on Linux. It's like asking a leaky old boat to run on a auto race course. Incompatible environments.
If it's a Windows application that you absolutely must use, you can look into wine or even Crossover Linux
; Crossover Linux applications, though, do cost a little bit of money.
You can also dual-boot with Windows or run Windows in a Virtual Machine, such as VirtualBox