It depends on where you got the game and how familiar you are with Wine, Proton, DXVK, etc. And yeah, the command line is kind of helpful for most things Linux, including running pirated games.
I got a pirated version of Cyberpunk 2077 running on Linux. I had purchased the game on Steam, but hated that when I was offline I couldn't play and even though Steam has an offline version, I figured fuck it, I'm tech savvy, how hard can it be? It was...not easy, but not the hardest thing I've done on Linux. I pretty much followed this reddit guide.
I'd look for a different launcher than Lutris these days since the Dev started introducing AI code into his source, but there's options in that regard and really, the big thing is understanding Wine, Wine prefixes, and Proton.
I haven't done this for most games as I just like to purchase my games these days, but it was a fun challenge. I have no idea how difficult this is on Windows as its been almost a decade for me Windows free, but hey, if you've got the gumption, its not too hard.