You are trying to run an application made for windows on a Linux OS. You cannot do it. A program has to be written/compiled to work with linux before you can use in it Linux.
You will have to look into Windows emulation for windows if you want to play stuff like that. I think I have actually heard of people getting Warcraft 3 to work with emulation. Or you can do what I do.... Dual boot. play games or whatever else on Windows, do my other stuff on linux...
You can start looking into windows emualtion with Wine...
www.winehq.com
There are others, as well.