Ok, first you will have to reformat your hard drive so that you can creat a linux partion and probably swap for your system or you can use any unpartioned space present.
Install windows first (it is easier that way) and linux later.
after the linux installation, linux will install a package called Grub or Lilo on your MBR which will anable you to dual boot your system (choose an OS to boot from)and walaaah..., you are ready for action.
Depending on thr distribution you have installed, you ca use either xmms, Noatun, Kaboodle, VLC, to play your audio files. But if they were not included in your distribution, you will have to download them and then install them onto your system.(But xmms is common to most distros you will find no trouble)
Mail me if any of this helps...Sorry i dont know much about linux games