Regarding the use of Android applications on a Windows OS, you can use Bluestacks. This is the only application that is developed to run Android applications on Windows-based platforms.
Unfortunately, even if you use a converter tool to convert the files from APK to EXE or any other format, you still won't be able to use them. Nokia Lumia is using Windows Phone OS which is different from Android OS. In order to use the applications from Android to Windows Phone, you need to recompile them to a suitable format. This is a job hard to accomplish, and the effort isn't worth it. However, you can use AndroChef Java Decompiler. To be noticed, that during this process you can encounter several compatibility errors.