Hey, welcome, and since you've made it as far as installation you're doing great
Linux, to put it lightly is a different operating system. EXE files do not work in Linux because they were coded for Windows.
Mint is based on Ubuntu, which is based on Debian Linux, so it use .deb files instead of .exe.
There are several different types of Linux, because Linux itself is just the core coding, Debian for instance takes the code, packages it up with a GUI(graphical user interface) and makes it usuable, Ubuntu customized Debian and made it even easier, and now Mint makes Ubuntu Linux almost as easy to the windows crossover.
Linux has a ton of choices, for instance, for a GUI microsoft uses windows explorer, Linux can have; KDE,Gnome, and more.
Simply put, Linux is not Windows, none of your programs will work unless they are available for Linux, being .60% of the market share kinda puts Linux on the shelf for lazy developers
However, there is a program called WINE, it emulates Windows code inside Linux. http://appdb.winehq.org/
If you really need your windows programs, and are willing to pay for something to emulate them that works almost every time(wheras wine doesn't ALWAYS work). You should try buying http://www.transgaming.com/
, and there is another but I can't remember the name.
Linux requires you to be hands-on with your computer, which can be really simple if you just google your problem, fallow the instructions to the letter and usually that problem will go away.
At the cost of being FREE, Linux doesn't have the giant market share that Microsoft has, if you ever find yourself saying, "Everything just works in Windows, why can't it in Linux", the simple answer is Linux does "just work" but the .60% market share forces developers to save time by not making programs for Linux, even though Linux alreayd has a plethora of free programs available over the internet.
As for your current problem, can you give us a list of games and applications that you need? We may be able to link you to places that will show you how to get them emulated under wine.
If things are still too difficult for you but you don't want to go back to windows, http://www.xandros.com/
is available for around 30 dollars, aswell as the programs I linked you to above.
Custom-Built comp, Mint for desktop, Windows Vista for gaming, shared data partition for personal docs:
AMD x2 4200 2.2ghz
MSI 8600GTS stock OCed
Asus m2n-e mobo
2x1gb, 2x512mb=3gbs ddr2 800
Seagate 230gb drive