Just to add to the above...
Strictly speaking, no, you can't run Windows apps on Linux distros. But you CAN run them with WINE. WINE does not stand for "WINdows Emulator", but rather "Wine Is Not an Emulator". It's a compatibility layer "allowing many unmodified Windows programs to run on x86-based Unixes..." Note the word "many", not all programs will run without problems.
http://www.winehq.org/
If you're not a gamer, there are actually Linux equivalents for just about anything you would want to do under Windows. The latest Ubuntu is not difficult to set up and use, although there are some geeky spots here and there.
