installing programs

That's odd. Can you post the file extension of the file. Usually, if thats a direct package install file, it should be a .deb or a compressed source.

That icon is for an .exe file.

An .exe.file is a Microsoft Windows executable file and not a Linux file.

Linux is not Windows. Windows is not Llinux.

Wherever possible use a native Linux file.

SOME Windows files will work in Linux with the application called wine - but NOT ALL.

What is the name of the program you are trying to install?

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Ubuntu Forums - Absolute Beginner Talk - http://ubuntuforums.org/forumdisplay.php?f=326
Kubuntu Forums - Help the New Guy - http://kubuntuforums.net/forums/index.php?board=7.0

Basic Toolkit
1) Download the Linux Starter Pack - http://www.tuxradar.com/linuxstarterpack
2) Look at the UNOFFICIAL Ubuntu Guide - http://ubuntuguide.org/wiki/Ubuntu:Karmic
3) Look at Psychocats - http://www.psychocats.net/ubuntu
4) Download the Ubuntu Pocket Guide and Reference - http://www.ubuntupocketguide.com/index_main.html

Hi :)

This guide might help you in general
https://help.ubuntu.com/community/SwitchingToUbuntu/FromWindows
It's worth bookmarking it and using it to look things up in

These guides might be useful for finding proper linux programs rather than trying to use Windows programs
http://wiki.linuxquestions.org/wiki/Linux_software_equivalent_to_Windows_software

http://www.linuxrsp.ru/win-lin-soft/table-eng.html

http://www.libervis.com/wiki/index.php?title=Table_of_Equivalent_Software

If you really have to use that Windows program then it is possible to install and run "Wine" which is like a Windows emulator in linux. However, Wine does use a far more sophisticated approach and the initials stand for
Wine Is Not an Emulator

Please also work through this work-sheet which should help sort any multi-media problems you might be having at the moment
https://help.ubuntu.com/community/Medibuntu

I hope this helps!
Good luck and regards from
Tom :)

those diamond or square type of programs with exe extension is windows platform programs and in Ubuntu same thing is possible with deb program files ie just double click on them and they will install.
But for installing windows programs on Ubuntu you need to install Wine program it will allow to install windows programs, better open Synaptic package manager search there which ever program you want to install and then mark it for installation by right clicking on the check box and selecting mark for installation then click apply