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For backing up files, you can plug in an external hard drive or ssd and clone your Users folder either directly from Windows, or open a Linux Live USB and clone the files 1:1. A simple copy in the file manager of either choice would work, but the command line tool rsync -avX <source> <destination> can be used instead to ensure as much of the file metadata is cloned as possible (accounting for differences in filesystems if you are transferring across from NTFS to Ext4 for example).
In Linux Mint, there is a built-in backup utility which will let you create and restore backups from external media or cloud sources. Other backup tools like Timeshift, Snapper, BTRFS Assistant also exist, but may require additional configuration and/or specific configuration on OS installation if you intend to use some of these tools specifically.
If you cannot use different applications for opening various file types and need a Windows-only software, the WINE translation layer does exist for general-purpose software, though it isn't guaranteed to work with everything. Proton also exists for playing most Windows games on Steam.