why can't i install third party software like (NERO 9 & SONY product)?

DOES ANYONE KNOW WHY?

Your third party windows programs were build to run under windows. Since ubuntu is a complete different operating system your programs can not be executed under ubuntu. However you could try to use the windows emulator wine or you could install a virtual machine running windows and install the programs there.

Note that for most problems there are really good open source alternatives running under ubuntu.

You can, The nero you are trying to install will most likely be the WINDOWS version and is of no use to you. There is a proprietary and paid for version of nero:
http://www.nero.com/enu/linux4.html
and is £18 GBP

There are TONES of free burning apps for Ubuntu in the repositories, so why you would want to shell out for this is beyond my comprehension.

"Sony Product" means nearly nothing, if you can clarify it we can advise further. Sony make MILLIONS of products.

THE SONY I'M TALKING ABOUT IS VEGAS PRO 9 & SOUND FORGE 10

http://appdb.winehq.org/objectManager.php?sClass=application&iId=529

Some versions get a good writeup, version 10 runs badly. Consider using one of the native sound apps and for god's sake quit with the caps, it achieves nothing and is harder to read.