Hello and Welcome to LinuxQuestions,
Congratulations on your decision to go for Linux. Some good introductory reading:
Introduction to Linux
FAQ for Linux Newbies
Linux is NOT Windows
About installing a Windows executable, that's something that's not done. The Linux way is to find a FOSS (Free and Open Source Software) alternative for your Windows software. If there's no alternative available, then you can look into installing Wine which might work for you, depending on what software you want to install.