non ubuntu game wont install

Installers with a .exe extention are usually programs designed to run under a completely different OS, and are not directly able to be run under ubuntu. As the instructions contained in the .exe are for a different OS entirely, they cannot be directly understood by ubuntu.

THat said, you can try using a windows compatability program, known as WINE. You can install wine from the repositories (software centre). Once installed, then right click and choose open with then wine.

Note that wine is a best-effort program, and is not guaranteed to give 100% compatability. However, they do maintain a database of different applications, and how well they function.

http://appdb.winehq.org/objectManager.php?sClass=version&iId=23616

For general info about wine in ubuntu:
https://help.ubuntu.com/community/Wine

Oh, I should also mention that Bejeweled is a remake of an old game called "tetris attack"
https://secure.wikimedia.org/wikipedia/en/wiki/Tetris_Attack

There is a similar game in the repositories called "Crack attack", which should be easier to install, but probably has fewer play modes than bejeweled.