Hi exzR,
if the exploit is for windows you obviously can't use it to compromise a linux box.
You didn't tell which vulnerability scanner you used, nor the vulnerability found (CVE or other identifiers), nor the exploit you are trying to run and from which database/source.
Maybe it's just a false positive, maybe it's fixed, or you just need some additional (from scratch) work to do if the exploit is not available for linux.
Most of the times tools just give you an hint. Then you need more researches to do on your own.
Have fun.
Bye!