What kind of files are you talking about? The vast majority of files will just work once you install an application to handle them. Images, video, audio, etc should all work out of the box on most distro.

"Try to make them compatible" isn't something you should ever have to worry about for files. Files are files, and you don't have to convert them to some other format in order to use them. Rather, you'll just need to install the relevant apps from your distribution's package manager. GIMP handles Photoshop files no problem for instance. No conversion or such, just... Open them like you would on Windows by double clicking.