Wine, is a software that runs on Linux, BSD and Mac OS X, and that let's you run windows software, natively. That means, that the instructions present on the windows EXE file are "translated" to the host Operating System, so it's no simply emulation. Some windows games are well supported by Wine, and others, not so much. To see if a piece of software is able to run on wine the best idea is to visit the "Wine Application Compatibility Database" ( http://appdb.winehq.org/ ), and check for the game or software in question.
To use it, simply install wine ( Linux installation is fairly simple, if you use any major distribution just go to your package manager and search for wine , or you can check here : http://www.winehq.org/download/ ). After installed just open the windows executable file you want to run with wine. Please notice that wine is always in development, and although there is some applications that run really well, others may not. Some examples of applications well supported are : Counter Strike, World of Warcraft, Microsoft Office, etc.
I'll soon post more comments relating to other software that uses or integrates with Wine to help install games, and so on. For the newbies it's a good idea to check this video first ( http://www.linuxjournal.com/video/play-windows-games-linux ), also the page contains some more links to the softwares they talk.

Wine Website : http://www.winehq.org/