Does oxygen and other gases enters the nose and travel down to the windpipe but only the oxygen enters the lungs?

They all enter the lung ... but the only one that quickly enters the blood is oxygen. Because oxygen is the one gas that has a higher partial pressure in "lung air" than its partial pressure in the "lung blood". Note that the blood's CO2 pressure is higher than the air in the lungs, so CO2 comes out of the blood into the lung's air.