Let me start out by saying... you will never get *all* Windows applications to run on Linux. That won't happen.
Now that that's out of the way... you want to install/setup WINE. WINE is a Windows emulator of sorts and allows Linux to run hundreds of Windows applications.
For games, you want WineX by Transgaming.
http://www.transgaming.com is their website and they ask for a $5/month subscription to help pay for development costs for running their program.