Hi Is there a software that will convert a windows executable to linux executable rather than emulating windows api in linux(wine)?
No, there is not. Just one reason of many: the libraries and the kernel calls that they use are different.
If you have the source code, you can recompile it to use a different platform. However, that's not always as simple as merely compiling it. If there are any platform-dependent calls (Windows API, for example), they're going to have to be completely re-written to accomodate the new platform.
In the short term, an emulator is your best bet. If you don't have access to the source code, there's no way that I'm aware of to do it.
It is not possible to "convert" an executable compiled for one platform/architecture to another. (ie Windows to Linux, Windows to Mac OS X, Mac OS X to Linux, etc)
You choices to use WINE or a Virtual Machine environment. WINE is great if you have an simple older Windows program Windows 2000 and some XP stuff works well enough, but if its complex or uses some 3rd party librarys or Microsoft ones that haven't been ported it will not work or not work right.
I find that VM environments work best. I would recommend using VirtualBox this is a very good, free, cross platform visualization software for x86 architectures.
If the Windows exe is actually C# (or other .net) bytecode, you might be able to run it using mono. You can check with the 'file' command
$ file hello.exe
hello.exe: PE32 executable for MS Windows (console) Intel 80386 32-bit Mono/.Net assembly
Other than that, it's either Wine or rewrite the app, like others' here have suggested.