EXE files are executable files. In other words, they are programs.
Linux is a completely different operating system from Windows. Windows programs do not run on Linux, and likewise, Linux programs do not run on Windows. MP3 files may or may not work "out of the box" depending on which particular distribution of Linux you installed and which options you installed it with.
There's a big learning curve with Linux, as you're finding out. Installing programs isn't as easy as downloading an install file. Generally speaking, these "installation executables" you're used to on Windows simply don't exist. The most common installation method goes like this:
Download foobar.tar.gz from foobar.com
Open a terminal window
Type: tar xvzf foobar.tar.gz
Then the program is shoved somewhere in your file system. Could be /usr/bin or /usr/sbin or /usr/local/bin, with some files in /usr/lib or / or somewhere else entirely. You won't get a nice little desktop icon because there are so many different desktop environments it's almost impossible to program with them in mind. So you have to make your own desktop or menu icon.
Sound card doesn't work? Uh oh. Finding and downloading the right sound card driver is a huge pain and installing it can be even harder. This will almost always involve opening large cryptic text files and changing some options or perhaps even recompiling your core system kernel. You'll need to download the appropriate kernel and system source into /usr/src.
Linux, at this point in its lifetime, is simply a gigantic pain in the a** for a desktop user. It's very good as a server, and if you're willing to invest a lot of time to learn a lot about the actual function and construction of the operating system, then you can get by with it.
But, for you, there's absolutely no reason to move away from Windows. Especially since, as a gamer, you *need* to retain Windows anyway.