It is very easy to run/execute Windows application (.exe) on Ubuntu using 'Wine Windows Program Loader'.
Here are the steps:
1) Open Ubuntu Software Center. Go to Application --> Ubuntu Software Center
2) Search for 'Wine'
3) Download and Install.
4) Now, right click on the exe, which you'd like to execute and select 'Open with Wine....'
5) That's it, your application will launch soon...