Because it's not Windows. That's whats all about it. You can't make a NES run a SMS game and you can't play a PS2 game on an XBox.
To be more specific, Linux can't run Windows programs because Microsoft closes its API so that it's so hard to run or reverse-engineer Windows programs.
Windows programs use things not available on a Linux system, and also Linux programs use things not available on a Windows system.
Projects like Wine, Cedega and CrossOver try to create a suitable environment for a Windows program to run, but it's not that easy, because as I said before, it's all closed information.
I hope this post has been helpful.
Extreme Coder
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