WINE (Wine Is Not Emulator)

Is a piece of software that helps run some Windows application in Linux.
Wine Documentation: help.ubuntu.com/communuty/Wine
After installing WINE, you can use the terminal to run a Windows application with the following command:

wine programname.exe

www.winehq.org is the main website for the WINE software
appdb.winehq.org is a database with the software it can and cant run.
frankscorner.org is another helpful website on how to get things to work.
 

Codeweavers Crossover

There is also the commercial software Codeweavers Crossover that helps to run Windows and Mac application in Linux.
 

Cedega

Cedega is another software but is limited to games and with small amount of monthly fee, unlike Crossover that is paid for only once.