A major difficulty in adapting to any Linux distribution, is to understand your installation system packages.
In K / Ubuntu, ie the distribution of the moment: P, the manager of packages is apt-get (not undoing of other distributions, but this is what I am using). The tool itself runs Debian packages Packeg - dpkg, which as you see, was a system adopted from the Debian distribution, as the whole Ubuntu.
In Windows, the standard is to install the application through removable media (CD, flash memories, etc.) or download the application from the Internet and then install. On Linux you can do exactly the same way, but what differs is the ability to install applications from repositories on the Internet somewhere (is not good.) The repositories are places where they are saved many programs, tools, utilities for Linux., Etc ...
Usually differ from the distribution repositories for distribution. Later, you'll see here a topic about some extra repositories (ie non-official repositories for K / Ubuntu).
In this way we avoid to have saved on CD's, DVD's, disks, "TeraGigas," floppies:), among others ...
In the Kubuntu distribution, has released the Adept Installer which is just a graphical interface for apt-get. Just us into this tool (the shortcut to the description that Add / Remove Programs) and inserting the name in the application, or only the initial letters, and follow ...
As shown in the figure below it was a messenger type program, the Emesene to install.

Another very good package manager (even higher than the Adept) is Synaptic. This can be installed in many distributions (Ubuntu, Kubuntu, Suse, CM, etc ...). But on this manager will soon only a topic on it.