installing application

In Ubuntu, you don't download applications directly from the developers website. Instead, you use something called a package manager. This ensure that you don't install programs that could compromise the security of your system. There's some packages that are not open-source (i.e. Java). For using these, you will need to enable extra repository (places where you get Ubuntu packages).

For more info:
https://help.ubuntu.com/community/SwitchingToUbuntu/FromWindows
https://help.ubuntu.com/community/SoftwareManagement
https://help.ubuntu.com/community/Repositories/Ubuntu
https://help.ubuntu.com/community/RestrictedFormats
https://help.ubuntu.com/community/Java

I hope it helps.

Well sometimes you can download applications from a developpers website.
But in this case they'll often call it a debian/ubuntu package. Its a file with a .deb extension.

So you can install programs in either of these ways. It's ordered from easy to difficult.

 #1 You can use add/remove from your applications menu. There's a lot of stuff there.

 #2 You can download a .deb file from a website such as http://getdeb.net

 #3 You can download an linux autopackage. This is a file you need to execute. To do so download it to your desktop. Rightclick and choose properties. Click on execute, to allow ubuntu to execute it. Now you can double click this file. It will be installed in your home-directory.

 #4 You can download linux applications that don't need to be installed. They will be in .tar.gz files. If you unpack them, they often contain an executable file. If you click on it, ubuntu will ask you if you want to execute it. If you can drag the file to a panel to create a shortcut to it.

  #5 You can download linux source code and compile yourself. This requires you know you're way around with the terminal though. You need to execute ./configure and ./compile in the directory of the source code.