One of the benefits of Ubuntu is that you don't have to completely give up all your Windows software. Much of what you use on Windows will be replaced with free open source software, but some of it will not be.
One option that you have to run Windows software is to use Wine. Many people call this an emulator but it actually stands for Wine Is Not and Emulator. Open up your synaptic package manager and search for Wine. Check this and install it to your system.
Now with EXE or setup file that is made for Windows you should have the option when you right click to load the program with "Wine Windows Program Loader". Once you click on this you have to wait about 5 seconds or so for the software to respond, then the normal setup process will happen just like in Windows.
Once the program is installed to the system you should be able to find it in your Applications under Wine> Programs. This will kind of work like your start menu in Windows.
Before you get too excited, every piece of Windows software will not work with Wine. If you go to the WineHQ website, you can find a list of programs that work best with Wine and find out which ones might still have some bugs.
Programs that need Internet Explorer, .NetFramework, have Windows ribbons, and a few other Windows dependencies will not work with Wine. Part of the reason is that you need to have genuine Windows software to run some of these additional addons.
Sometimes you are just going to need a copy of Windows in order to run certain software. This can be done with VirtualBox and a legitimate copy of Windows installed inside Ubuntu. This will run a full version of Windows just like you would normally.
Windows software can actually be used on Ubuntu. A program called Wine must be installed to the system to use Windows files like EXE or setup programs. This is a good option for someone who just needs a few Windows programs.