You first get familiar with Linux and how to use the bash commands. Any Linux distro is still based on the old UNIX platform which is not simply "point and click" as seen in Windows. Linux has often been nicknamed the "geek's OS" since you have to learn a new set of ropes in order to get things working. Bash commands, Grub and Lilo boot loaders, etc, are usually confusion for the Linux newbie.
However there is some help frpm friendlylinux.org that may give you a few tips for this seen at http://friendlylinux.org/2007/01/28/windows-games-in-linux/
While that link is more for SUSe the one here is for Linux in general. http://frankscorner.org/index.php?p=ie6