OK, well there are three solutions to this problem.
1. Get Wine at
http://winehq.org
Wine lets you run Windows apps in Linux, however support is shaky at best, and support for games can be worse.
2. Get Cedega. Cedega is Wine especially compiled and programmed to run games better than regular Wine. Unfortunatly, you have to PAY for a subscription (about $15/month) to get Cedega and all updates.
3. Dual-boot Linux and Windows. Perhaps the most flexible of all options I listed. When you want to play with Linux, boot into it. When you want to play games in Windows, boot into that. The Linux installer will set it all up during the install.