you will have to install either
Wine or
Cedega (formally known as WineX) to even attempt
to run a windows native game under linux ...
what game is it exactly ? cause there could be a trick to getting it to work ..
and keep in mind that Wine is still in its alpha stages, so its not guarunteed that the game
will run ... but Cedega has support for over 300 games ... so depending on the game, it
may or may not work ...