Please keep in mind that windows and Linux based systems are entirely different, build on different code bases and security structures.

You can run certain windows based software on Linux based systems by using a windows emulator software which created a basic fake windows structure to allow compatibility, some of these products are free and others must be purchased.

Emulators
Wine - Wine is a free windows emulator with good support, you can check if your chosen software is supported at http://appdb.winehq.org/

Crossover Office and Crossover games (http://www.codeweavers.com/) - The crossover products are paid but they offer better compatibility than wine with most software. If you are looking to run Office based software checkout Crossover Office, if you are looking to run games then Crossover Games will offer a better solution.

Cedega - Cedega is another paid windows emulator which is made for games. You can check their application database to see if your chosen game is supported at http://www.cedega.com/gamesdb/

Potential Issues
You must keep in mind that these products are only emulators, certain windows based functionality such as windows based encryption cannot be supported because they require the windows proprietary API and libraries which cannot be legally reproduced or copied. With that being the case many general applications will work, but some specialized applications cannot be run outside of windows, but it never hurts to check the application databases to be sure.

Try wine

http://www.winehq.org/