What software is it? Unfortunately, if the software doesn't say on the box that it supports Linux, it probably won't work
You will probably want to find an alternative, usually free, that works in Linux.
Here are some examples:
Photoshop (Windows) ---> GIMP (Linux)
MS Office ---> OpenOffice
CuteFTP / WSFTP --> gFTP
MS Outlook --> Evolution
DC++ --> DCGUI
MSN Messenger --> aMSN
AIM --> GAIM / Kopete
Winamp / Windows Media Player / Realplayer --> MPlayer / Xine
Netmeeting --> Gnomemeeting
Nero / DirectCD --> K3B
Partition Magic --> QTParted
Winzip --> File-roller / Ark
MS Publisher --> Scribus
If you must run certain Windows applications, there are 3 classes of products you can try:
WINE (free): This will run the most basic Windows programs and more complicated ones like Office if you are lucky.
Codeweaver's "Crossover" (not free): this is a commercially-supported version of WINE that lets you run a much greater variety of Windows programs than the community version. Plus you get tech support.
Transgaming's "WineX" (not free): allows many Windows games to run in Linux.