Linux Journal Gadget Guy Shawn Powers walks you through how to play Windows games on Linux. (video, text below) -
http://www.linuxjournal.com/video/play-windows-games-linux
Some of the links Shawn mentioned in the video:
Cedega
http://www.cedega.com
Crossover Games (cxgames)
http://www.codeweavers.com
Wine (Wine Is Not an Emulator)
http://www.winehq.org
Wine Doors
http://www.wine-doors.org
Wine Doors is an open source Linux application designed to help
install a wide variety of Windows software using Wine. While it
didn't always work as expected, the interface and ease of use makes it
worth checking out!
Play On Linux
http://www.playonlinux.com
Play on Linux, while still free, takes a slightly different approach,
and creates a "hard drive" for each game you install. It automates
the setup process, and like Wine Doors, installs Windows applications
on Linux.
IEs 4 Linux
http://www.tatanka.com.br
IEs 4 Linux isn't really a game installer at all. If all you desire,
however, is to have a version of Internet Explorer running in Linux
(for proprietary websites, code testing, or just plain masochism), it
makes the process VERY easy.