You cannot directly run Windows executables (they depend upon the Windows operating system). You can add virtual machine software, such as
VMware and others, or you can add
Wine, that allows you to directly execute Windows programs (but not all Windows programs).
See
http://www.vmware.com for information about
VMware or
http://www.winehq.org for information about
Wine. Additionally, the February 2008 issue of
Linux Journal magazine features a number of articles about virtual servers that may be interesting.