In addition to 'Wine', it might be feasible to install and run VirtualBox in Ubuntu and run Windows and load your windows games from there. It is a virtual machine, so generally for every windows native code instruction, twice the processing has to be done, which might have a notceable effect windows game performance. You can download VirtualBox from the Ubuntu software centre (12.04) or direct from its website. The other windows software should run.
I have used Wine and have had problems with windows games, so better to keep windows for gaming. Even the VirtualBox idea, might have its issues. If you have time to research and hack some code to get things working, in addition if any successful solution can be found is sometimes 50/50, I would keep your Windows games for Windows not for Ubuntu.
If you want to use ubuntu on the same Pc as your Windows, create a dual-boot. For a starter you can install Ubuntu from windows, using 'Wubi' and it install Ubuntu on the same partition as Windows, with a storage size limit, so make sure to set the Ubuntu data storage limit to your requirements, if you are planning to store audio, video, document files, etc on the Ubuntu partition. The Ubuntu installation will also share and use the windows NTFS file system (since it is on the same partition as windows), and maybe a little slower. This will also create a dual-boot menu, so when you power up you can choose between windows or ubuntu.