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Program packages are often installed from the Ubuntu repositories. This is different from Windows. Some programs are not available that way, and are more complicated to install. In that case you must use the instructions available. But start with the vast amount of programs that can be installed from the Ubuntu repositories
If you want an intuitive way to do it, use the Software Center
If you want a more advanced GUI tool, install Synaptic (via the Software Center) and activate some more repositories.
If you want full flexibility, use the command line tool apt-get with superuser privileges in a terminal window, for example
sudo apt-get install synaptic
to get codecs, flashplayer and other things to play music and video,
sudo apt-get install ubuntu-restricted-extras
to get the GNU Image Manipulation Program.
sudo apt-get install gimp