The data files that the Doom engine games use are called .wad files. Use a port like ZDoom (simple, yet versatile) to play them. Different ports have different modified engines with their own unique enhancements features (rooms above rooms, particle effects, swimmable water, etc.). I actually mod for the game, so these programs are a dream come true. Some other, more specialized ports include but aren't limited to:
EDGE
GZDoom (same as ZDoom, but with OpenGL compatibility)
SkullTag (same as ZDoom, but with OpenGL compatibility and MULTIPLAYER
)
Vanilla or Chocolate Doom
Doom95 (some issues with running on newer systems and is VERY bare-bones, like Vanilla)
Most of these ports also have some basic control updates (ability to look up and down, jump, crouch), which are technically cheating depending on how you use them.
Hope this helps. These old games need to be run through something that can read them, so Windows by itself won't do. Even back in the DOS days, Doom would run on some sort of .exe or .bat file that would read the .wad and open it for you. Now we have more choices, but the functionality remains the same. Download and install your port into some folder you create, put in your .wad files, then click on the port .exe. If you have more than one .wad in the same folder, it should pop-up with a screen asking you which game you want to play.