Installing software on Linux involves package managers and software repositories, not downloading and running .exe files from websites like on Windows. There are a wide variety of Linux distributions and a wide variety of package managers.
A Software Repository is a database of application installation packages and upgrade packages available for your Linux distribution. When you install Linux, Software Centre comes with a default Repository. However, when the applications you need are not listed in this repository, it becomes necessary to add additional Repositories.
Repositories are managed via files. Ubuntu uses apt for package management. Apt stores a list of repositories or software channels in the file
The file comes supplied with all the common Ubuntu Repositories. By editing these files, you can add, remove, or temporarily disable software repositories.
You can also use Synaptic Package Manager.
On systems like Ubuntu, most software is packaged in .deb files which contain the programs and libraries you need. These files can be downloaded. Repositories are servers which contain sets of packages. You can access them with tools like Synaptic.
These tools can list all the packages you have installed and the packages that are available in the repositories that you have configured the tool to have access to.
Software in Ubuntu's repository is divided into four categories or components - main, restricted, universe and multiverse.
To install a new package:
sudo apt-get install <package_name>