Actually, it's entirely possible to play Windows games on Linux, as long as the game is supported by Wine and your hardware doesn't meltdown loading it. There are two ways to go about installing.
I would recommend installing WINE and PlayOnLinux to make installing GTA:SA easier.(NOTE: Even with it being 'easier', you may have to work at it to get things running. Be persistent, and don't be afraid to ask questions and search with your preferred search engine.)
Installing Wine is pretty straightforward, since it's already in the repositories. Just open up the terminal and type
sudo apt-get install wine. Once Wine is installed, it's a simple matter of installing PlayOnLinux using
sudo apt-get install playonlinux. If you're uncomfortable with the terminal, you can always look it up in the software center.
Once you've installed both Wine and POL, we have to either pop in the disc or get the installer. When installing a game, PlayOnLinux should ask what you want you want to do. It's a pretty straight forward process, similar to Windows 'wizards' that we're all used to from the days before we found Linux.
The alternative way is to install Wine (just like before), install Steam.exe (which can be downloaded from here), and install GTA:SA through Steam.
By the way, here's a link to Wine HQ showing a positive user experience for GTA:SA. And here's the link to the PlayOnLinux website, which would have more in depth answers for anything related to POL, and includes a compatibility list of all games supported.