The single most important thing is that your GPU is well supported by your kernel. nVidia is hit or miss, Intel and AMD usually fare way better.
Once that is sorted, you can either install Wine / Proton yourself or install a Launcher like Lutris or Heroic to do it for you, as well as manage the installation of games. I use Heroic. You need to install at least one Wine / Proton version through its Wine Manager, then you can start installing and playing.
Depending on your setup things may be a little more complex (like running Heroic inside Flatpak), but the general workflow boils down to that. So yes, even despite the Windows-only installers of most games, they (nearly all, anyway) run just fine on Linux. :)
Oh, and there is ProtonDB (
https://www.protondb.com/) where you can check for possible problems and workarounds that Heropic can't handle automatically, like using a specific Wine version, etc..
That's the same thing that Steam does, BTW.