It's related on where you saved your files.
Reinstalling windows you'll loose all previously installed softwares, games included. During reinstall, setup will ask you to reformat HD: if you say yes then you'll loose all data.
If you have more than one HD, then copy all your data on another HD: in this way you will not loose any data. If you have only one HD, you can create two partitions, one for operative system and programs, and another for your data. Or you can save all your data on DVDs and copy again on HD after reinstalling windows.