Hi,
Given you're not using correct terms ("device" for "program"), I assume you never had theoretical instruction on computing, and don't have an accurate idea of what is an operating system. I'll try not to go too much into technical explanations.
Programs do not run in vacuum, so windows runs windows programs, and linux runs linux programs, etc. If you want a no brainer experience that's all you have to remember.
Now, what PlayOnLinux uses to run windows programs on linux is called Wine, which is itself a program that "translates" calls specific to windows operating system into calls to linux operating system. An emulator, if you will.
Wine really does wonders, countless hours have been spent on creating it (it's a 20 years old project), and it can be used to do amazing things.
It's not perfect though, not every windows program runs under Wine, and I doubt it'll ever happen. Also emulating an environment inside another incurs some intrinsic usage complexity.
So, try to find linux programs that do what you want. If you're dependant on specific windows programs, consider running windows in a virtual machine, say VirtualBox; It will have its own set of limitations, but give more consistent results than Wine. If you really want to use Wine and PlayOnLinux, check the AppDB (http://appdb.winehq.org/) to get an idea of what to expect for running a specific program. But it will require efforts. Then it may also be ok to multiboot between windows and ubuntu. it's up to you.
Edited by petch