Better yet, use a container.
Distrobox[1] automates the process of installing popular distros released in the past decade or so in containers.
For games in particular, Proton[2] (a game-specific Wine fork) or one of the Steam container runtimes[3] (for native Linux games) might also be worth a try.
For a non-Steam game:
1. Install and run the Linux Steam client (Steam account required).
2. Add the game to the Steam library: "Add a Game" → "Add a Non-Steam Game…", choose game executable.
3. Right click on the game, choose "Properties" → "Compatibility" → "Force the use of a specific Steam Play compatibility tool", and choose a version of Proton or container runtime (the most recent non-experimental version is probably a sane default).
4. Make sure the selected Proton or container runtime version is installed. These should be available for installation from the Steam library by default. If you can't find them, click the dropdown above the search box in the Steam library, make sure "Tools" is checked, and make sure the "Show only ready to play games" option ("play" arrow in a circle icon to the right of the same dropdown) is disabled.
5. Launch the game from the Steam library.
[1] https://distrobox.it/compatibility/#containers-distros
[2] https://github.com/ValveSoftware/Proton
[3] https://gitlab.steamos.cloud/steamrt/steam-runtime-tools/-/b...