I have Elementary OS (Luna) installed. I want to play some famous Windows games, for example GTA. I also can't find some programs I used to use on Windows 7.
Is there a way to run Windows applications on Elementary OS?
Unfortunately, if there is one area that Linux is severely lacking in, it's gaming. Most big game companies have little to no interest in developing native Linux versions of their games, although there are some notable exceptions (discussed later).
Your best bet for playing big-name Windows-only games is PlayOnLinux, an easy-to-use wrapper around WINE (WINE is an "application layer" that makes Windows apps "feel" like they are running on Windows, when they are actually running on Linux, with varying degrees of success). Their game catalog includes titles like GTA 3, GTA 4, GTA San Andreas, Skyrim, and Need For Speed. These are not free downloads, of course, for you'll need to own a valid copy of each game, often including the CD/DVD or License Key. PlayOnLinux also supports a range of non-gaming applications as well, but I'd suggest looking for native Linux alternatives to common Windows apps before trying to run a Windows app through PlayOnLinux.
Another alternative is playing games that are actually made for Linux. Many great native Linux games can be found through the recently-released Steam for Linux (I believe it's in the Software Center). Yet another source for great indie games (with some big titles too) is the Humble Bundle, which usually has more then a few great Linux games for sale under a pay-what-you-want model. Lastly, check out the Software Center itself, and be ready to explore some lesser-known but still high-quality and often free games.
Gaming on any Linux distribution is all about keeping an open mind. If you want an OS where you can just drop a game disc into the CD slot and click install, then Linux is not the answer. If you're looking to be a serious PC gamer, maxing out your FPS and taking advantage of that expensive nVidia graphics card, then Linux is still not the answer. But if you're willing to put a little effort into "making it work" and dealing with a few hiccups along the way, then you'll have a pretty good gaming experience.