Get my windows desk top files on my Linux one

How to get my windows desk top files on my Linux one?

I'm not sure I'm understanding the question correctly. I'm not quite sure why you want the files from your windows desktop to be on your Linux desktop...
If copying and pasting takes too much space, then just travel down to their original location. You should have an icon to your Windows partition on your desktop, but if not you can browse down to /media/windows.

As far as the last question goes, You wrote..."How do I use programs from windows?"
If you want to use the Windows programs, you can:

A: reboot into Windows and use them in Windows
B: find the linux or open source alternative to the windows program you were using and us it instead.
C: install the Windows-based application in Linux using WINE.

Of those 3 options, B is the easiest. The linux alternative to whatever windows program you want to run is probably already installed with ubuntu. If you absolutely have to have a windows app, then try options A or C.

If I completely misunderstood your question, please reply back and clarify. I would be more than happy to assist you in whatever linux or windows questions you might have.