Linux can mount windows drives (I don’t recommend it, but it can if you need a file).

Windows cannot mount Linux drives (in theory ext2fsd can do it but it’s massive pain and it no longer works for me).

If you install a game, either it works on Linux out of the box (it’s native) or it works under proton, in which case steam will take care of that for you in most cases and at worst you have to change a single setting. Visit protondb to learn what games work and don’t work on Linux.