Linux Unified Kernel claims to allow you to run Windows application native under Linux (I haven't tested it yet though). The installation is quite simple from what I saw, simply download the version called "Linux Unified Kernel 0.2.3 with wine and linux kernel" and then all you have to do is run this (make it executable and double click it):
and a GUI will guide you through the installation process. Select the way you want the kernel to be installed (for Wine or as Unified Kernel). Then, to run Win32 applications on Linux Unified Kernel, just do it like running a Linux program.
Here are some screenshots: