There are several different types of installation files for Ubuntu, and few of them are as easy to install as the EXE installation files found on Windows. Read it here

If you need to download an application to your system that is not found in Add/Remove Applications, then you will find yourself with one of several different types of files: .deb, .rpm, .bin, .tar.gz, INSTALL, .sh, etc.

These different files all have a different method of execution. Below is instructions on installing these file types. This tutorial assumes you are running the latest version of Ubuntu, 8.10 Intrepid.