Yes - Windows programs depend on the Windows system to do lots of essential stuff hence they can't run unmodified on Linux (or a Mac for that matter).
The ways to get around that problem are:
a) use Linux versions of the Windows applications if available, e.g. OpenOffice.org and Firefox,
b) use Linux programs that do a similar thing to the Windows apps, e.g. using OpenOffice.org instead of MS Office,
c) use something called Wine which allows many, but not all, Windows apps to run on Linux,
d) run Windows in an emulator/virtual machine e.g. VirtualBox, and start it up when you have a Windows program to run,
e) install Linux alongside Windows and reboot to run Windows.
The ways to get around that problem are:
a) use Linux versions of the Windows applications if available, e.g. OpenOffice.org and Firefox,
b) use Linux programs that do a similar thing to the Windows apps, e.g. using OpenOffice.org instead of MS Office,
c) use something called Wine which allows many, but not all, Windows apps to run on Linux,
d) run Windows in an emulator/virtual machine e.g. VirtualBox, and start it up when you have a Windows program to run,
e) install Linux alongside Windows and reboot to run Windows.