which flavor of linux are you talking about? Ubuntu has a package manager which is an app where you look at a GIANT (but well organized) list of software in you click to install it. even in another OS you can download files kindof like and exe that install that way. and the other way is at the software's website you may see some text you can copy into your terminal (like command prompt) for example to get WINE (a program) for ubuntu you can copy and past the text
sudo wget
http://wine.budgetdedicated.com/apt/...st.d/edgy.list O /etc/apt/sources.list.d/winehq.list
and it will download and install WINE, it's basically like a wizard but text based. the way i got Wine was i just opened up the synaptic package manager and searched Wine then checked the box next to Wine and clicked apply, then it downloaded and installed it for me (the same works for uninstalling you just un check the box and click apply) hope that helps!