How to run .exe files

Hi there,i got a question that puzzled me all the time,that is,your konw,some kind of video that is make into the .exe format,so how can I play it on the linux if I don't wanna use the wine.
You either use a windows emulator, like wine or cedega, or run windows itself in a virtual machine.
>windows emulator
Wine Is Not an Emulator!

(couldn't resist)
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