So you can't find a Linux version of that software you want to install? Our last step is to try Wine. Wine is a compatibility layer that tries to translate Window Binaries (.exe) calls into Linux calls. Sometimes this works really well, and other times nothing happens at all. Wine will create a windows environment, with c drive, task manager and everything else.
For Steam games you can just use Steam. For games that are not on Steam, use Lutris. For Epic games and GOG you can use Heroic (or Lutris). For other programs, Bottles might be good option. Check protondb for Steam games, and winehq appdb for compatibility with all other games. While it is possible to use the existing game library on an NTFS drive, it is not recommended due to compatibility issues. It might work, but you could run into weird problems.
You can find all kinds of programs in the wine AppDB.
Here's an in-depth guide of wine stuff but again, google and find how stuff works and it works. If you don't understand, please ask! The community is usually happy to help!
There are also other programs that try to help you with Wine, like PlayOnLinux.
There is also a paid for solution called Crossover made by CodeWeavers. CodeWeavers are the same minds behind Valve's Proton so you should expect a pretty good product in general. They have a search feature that you should also use. But usually you will not need it if you don't want to spend money.
Manually running wine
You typically would not want to do this, this is just for educational purpose.
First, let's install Wine.
sudo apt install wine
On some systems, installing Wine allows you to double click an .exe and it will try to run just like in Windows, but if not, you would open a terminal and type (credit to /u/whyhahm for suggesting
cd to directory before running):
cd /path/to/program; wine file.exe
Direct3D is a propietary graphics API used by Windows to draw elements on the screen using your GPU. It's only Windows speciffic, so it's the biggest bottle neck of gaming on Linux. Cross-platform and open source alternatives are OpenGl and Vulkan, so the main idea is translate Direct3D instructions to Vulkan/OpenGL, which is Linux avaliable.
These are the common D3D translators for linux:
Gallium Nine: Gallium Nine allows to run any Direct3D 9 application with nearly no CPU overhead, which provides a smoother gaming experience and increased FPS. Gallium Nine requires you to be using the Mesa3D driver though, so Nvidia users are out of luck. (Thanks to /u/MicroToast for the clarification)
VKD3D (and its currently more active -proton fork): Translates D3D12 to Vulkan since DirectX12 "architecture" and functionality is different from older versions and it's low level (devs could fine tune stuff on your hardware more) like Vulkan
Proton and Lutris both have support for automatically using these technologies, so you don't have to worry about what to do in order to take advantage of them.