It depends very much depends on what game it is. If its a simple game it may run in a DOS window under the windows operating system. However, if it's a complex game, it may require what we call a minimum amount of expanded memory and must run directly from DOS.
We need to now what version of windows you have and the name of the game.
Also look at the packaging for the game, or instruction manual. On a blue label it sometimes tells you that the game must have a minimum amount of a certain type of memory. Let us know if it has.