yes you can, you can install a program called wine.
quote from the winehq.org website
To install Wine from the WineHQ APT repository, you need to configure APT to look in the right place for the Wine packages. On Ubuntu systems, and those using the Synaptic Package Manager, this can be done easily by opening up Synaptic (System->Administration->Synaptic Package Manager) and selecting Settings->Repositories. Then click add, select custom, and enter one of the following:
For Ubuntu Dapper (6.06):
deb http://wine.budgetdedicated.com/apt dapper main
For Ubuntu Breezy (5.10):
deb http://wine.budgetdedicated.com/apt breezy main
now, click ok, Then, simply click reload and search for the package 'wine', without quotes. Then, right click it and click select for install. than click apply at the top, and wine will install. If you already have a 'wine' package installed, selecting mark all upgrades should update Wine to the newest version.
now, double click the executable file (.exe file) from which the game is launched, it will not recognize the file and it will ask what to open it with, in the open with text box, type in "wine" without quotes, than check "remember application assosiation with for this type of file", than click ok, windows programs will than automatically start with wine
if this game is on a cd, than put the cd in the drive, double click "install.exe" located on the cd. do the same thing with the open with dialog. it will than install it. im not very familiar with ubuntu, but im pretty sure it will then add a shortcut to the desktop or menu.