you are very right. windows
is technically needed to play those games. the good news is that mandrake and many other top of the line linux distributions will install themselves on your computer without disrupting your windows installation at all, meaning that when you switch on, you'll get the choice of using windows or linux. You can utilise this feature to use windows for only your games, and find out how to use linux for everything else.
Also, you'll be heartened to know there are quite a few ongoing projects to enable windows to be emulated, or to enable windows programs to run 'natively' in linux. most notable of these are WineX, win4lin, VMWare and wine. only the last of these is free, the rest all having different proprietary costs.
Welcome to the fold, and do ask questions if you need to!