Yep, applications need to be specifically written for linux to run there natively.

You can somewhat "cheat" and use wine to try and run windows applications under linux, or if you have an extra copy of windows you could use VirtualBox under linux to run your applications. Either way may or may not work for any particular application (or in the case of VirtualBox, Windows version) though.

I've run Xtreme under linux using wine in the past, but not recently and I can't remember which version it was.

In any case I would recommend Virtual Box over Wine for better compatibility in most cases, as getting things to run under Wine can take a great deal of technical know-how and fiddling around and it's generally not worth it.