The Crying game song

The song is exceptionally perfect for the movie, and oddly mysterious. I loved it when Dil was shooting Jude and the song was playing in the background with Dil's psychopathic facial expression. Such an amazing director, Mr. Jordan.
But I sincerely want to know what the song is about, since not only is it played in the movie several times, the movie itself is named after it and Dil loved the song, which means that it must have subconsciously spoken to her.
What's it about? I read the lyrics, but I just couldn't figure out the meaning.
Is it about people trying to avoid heartaches and pain from their lovers? Does the crying game mean the game (the affair) that results in crying and suffering?