WINE is your solution..
It can make your LINUX more live.. You can install your lovely .exe application without changing back to WINDOWS..
WINE is available in your LINUX repository...
Simply go to your teminal
guest@me:$ sudo bash
password:
root@me:$ sudo apt-get install wine
Here we go... WINE is already installed
Now you can install .exe application to your LINUX
Enjoy It....