Linux isn't Windows, and it wont run programs made for Windows. If you need to run Microsoft Windows programs, you need to install Microsoft Windows.
The only exception to this rule is WINE, a "Windows Compatibility Layer" that allows a limited few Windows apps to run in Linux. This technology is still very basic in Windows support and operability. (see www.winehq.org
Alternatively, you may be interested in getting WineX from www.transgaming.com.
While it isn't free (you need to subscribe to the service, about $5 per month), it allows a few Windows games to run on Linux. The list of games that will work with WineX are small: I personally have Max Payne, Soldier of Fortune II, Jedi Knight 2, and one or two others working with it. 95% of games *will not* work with WineX, however.
That's as good as it gets. Feel free to check out www.linuxgames.com
for news on Linux native games, or buy a Linux supported game like UT2004, NWN, QuakeIII, etc.