Howdy dingchris. What operating system? What application? Computer Specs?
I don't have a lot to work with here except for a dancing Tasmanian devil and he aint telling me much. I know Linux can be intimidating. But it can be learned like anything else. Otherwise, guys like me couldn't run it.
First get in your head that windows exe. downloaded files need to be run in Wine if you can't live without Windows Apps.
WineHQ - Run Windows applications on Linux, BSD, Solaris and Mac OS X
Doesn;t mean your app will work in Wine. Kinda hit and miss.
I don't run Wine or any Windows apps so I won;t be a lot of help there. Reason is, it is a good way to get a trojan. I won;t go into detail. Just know it is so.
I chat, burn and watch movies, rip music, change wav files to mp3 and vis versa. Use my Mp3. All these things without Windows. If you tell me what distro you are running. I can refer you to that distros forum.
For best results, be a little more detailed on what you are trying to accomplish and post in a respectful manner. Good Luck.