You can run Windows programs/games on Linux with the free program below:

http://www.winehq.com/

There's also a way to run Windows inside of Linux, but you have to use VMWare which is a commercial program:

To read more about these & other methods check out the article below:
http://www.linuxjournal.com/article/8630

I've run VMWare on Windows, and it ran Linux pretty well. (Keep in mind that you'll need 512MB + RAM for this to work efficiently, unless the game is not that extensive).