By design Microsoft do not allow to run the linux applications
on Windows and also Microsoft see to it that the windows applications
are not easily run on Linux. To do this most of the fees paid to Microsoft
is utilized. (how about that)
Hence there have to be lot of efforts needed to make windows application
run on Linux.
There is an open source project by name WINE which helps do so
and the Codeweavers are the sponser for that project.
Check the following links for further details