Windows program applys or requires its own direct link paths as of (dll) but in Linux the library is (*.so) or more to know as shared object or library. I dunt think so you can run windows apps on Linux. You may try but i dunt think so it can run properly or allow you to install.
First of all, I am a newbie myself, but I think I can point you in the right direction. There is a linux program called gaim that can run all of the instant messaging programs ( yahoo, aim, msn, icq, etc). I'm sure a quick google search will find it for you. Also, there is a real effort to make Windows programs run on linux. The program that does this is called wine. Again use google for more info.
I hope this has been helpful.
You can try Jabber on Linux. As I know it has a lot of interfaces to various IM systems.
If you need run some other Win32 applications on Linux, there are two ways. First. you can install VMWare. VMWare is not emulating one of some operating systems, it is emulate hardware, therefore in VMWare you can install almost any OS which works on Intel.
Second, install Wine or WineX or Win4Lin. These products emulate Windows environment.