Well, hang on, before we drown you in info -- a little more information from you might simplify matters.
When you say "windows files," what do you mean *exactly*? If you're talking about things like Word documents, there's nothing you need to do, they will open just fine on a Mac as-is. If you need to open other Office documents, there are free and paid options including Microsoft Office itself (which actually started life on the Mac back in the 80s).
If you're talking Quicken documents, there is a version of Quicken for the Mac that might meet your needs, but per Intuit tradition its not as full-featured as the Windows version. There are alternatives that should fit the bill for most people, like iBank.
Most everything else -- contacts, calendars, email, media files, photos etc -- will just come on over and be used in the Mac programs for those things. You can use Windows Migration Assistant (a free Windows program from Apple) to help you with that.
Bottom line -- what is it you actually want to accomplish? The Mac is different, but not wildly so -- more a design difference than functionality difference. But using it effectively requires understanding that OS X is not Windows.