I will show you how to run windows applications inside Ubuntu without virtual machines and even without installing windows inside Ubuntu, Windows programs and games will run smoothly along side with your Ubuntu applications.

We will use an application called "Wine" and lets start with the installation:
Wine will only work with Ubuntu or Debian or Debian based distributions.

Make sure you are connected to the internet then open terminal and write:

For Ubuntu Hardy (8.04):
sudo wget http://wine.budgetdedicated.com/apt/sources.list.d/hardy.list -O /etc/apt/sources.list.d/winehq.list

For Debian Etch (4.0):
sudo wget http://wine.budgetdedicated.com/apt/sources.list.d/etch.list -O /etc/apt/sources.list.d/winehq.list

Then update APT's package information by running 'sudo apt-get update'.

Then close terminal and start any windows application by using the terminal:
wine 'your exe file path here'

play windows games on Linux with maximum performance.
Here is a video: