Windows software is not supposed to work on linux. That's because Windows programs that make OS calls use the Windows API, Application Programming Interface, which is not interchangeable with linux/unix system calls. Neither are Xfree/Xwindows API calls like Windows calls. Xfree is a linux add-on graphical system, one that is used to constuct GUIs like KDE. MS never meant to make its API interchangable with Xfree.
(Actually, within Windows NT, there is, or was, to a certain level, compliance with POSIX, a generically defined unix. But the Windows API is not confined to that.)
There are projects to partially adapt linux to some of Windows' API.
WINE (Wine Is Not an Emulator?) is a long running project that I can remember as having the goal of making many Windows 3.1 programs run on linux. I don't know how far they have acheived that. I suppose by now they must have updated their goals.
WineX is a pay-for subcription service that adapts particular games, which its members vote on, to work on linux.
But there are plenty of linux apps that will accomplish what people generally do with Window apps.