You are still in the windows frame of mind. In Linux and Ubuntu in particular you do not need to run a setup.exe or an install.exe file in order to install a program.
If the program you want is not in the Software Centre and you are downloading it as a deb or tar file then it should automatically be downloaded into the Download folder. From there you can put it in its own folder that you have created.
If it is a .deb file then right click on it and select Open with Ubuntu Software Centre and then Software Centre will install it for you and if you need to remove that program you will find in now in the software Centre with a button that says Remove.
If it is a tar or tar.gz file then right click and select Open with Archive Manager and you can extract the file right into the folder it is already in. Now, you can open the deb file with Software Centre.
It is just a different way of working. You get used to it. I find it simpler. I like the way that the software Centre does all the work.
Regards.
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