No Gary. Windows programs do not run in any Linux distro. But Zorin has a huge program library from where you can get equivalent programs. Takes some scouting because the library is so big.
In Zorin, go to Start > Ubuntu Software Center and select the category in the left pane - as an example: go to 'Sound and Video'. There the first entry should be VLC. Click on it and click the 'more info' button. If you like what you see, click 'install' on the right side. That's all.
Once you found the program you like, it is a lot easier to install than in Windows. Just click 'install'