Windows > Linux. I installed Ubuntu, messed up on one little part, and had to reformat my hard drive. Ended up back with Windows. Linux fails for gaming yet is king at customization. It is definitely not recommended for non-enthusiasts. I loved it except for it's complex nature and the sheer amount of stuff I had to learn so I could effectively customize it and distributables to match my interests. You could use WINE to emulate Windows games, but that's about it. There are also several compatibility issues with it, though they're working on fixing that. If you're gonna stick with Linux, remember to get Beryl (a kick ass window manager/eye candy). If you want, you can try dual booting Linux and Windows; using Linux for most things, and Windows just for gaming, but that could become tedious, etc. I'd say just stick with Windows. It's getting better as it goes along (Vista ain't all that bad). Just stay up to date with the updates and you should be fine. If you're sticking with Linux, good luck. After you get everything set up, you should love it though.
FYI: EXE files are executable files for Windows alone. Linux and Macintosh don't run/open them; they have their own file types.