Most programs that what come in a zip or tarball usually have a "readme" file of some sort describing how to install them. A lot of these are source code and require some additional packages be installed first. Without a specific example, it would be difficult to give you meaningful instructions.
As far as Windows disks go, Ubuntu isn't Windows and as such does not used the same internal interfaces (libraries, GUI development, etc.) as most Windows programs. A .bat, .com or .exe file will not run or work in Linux. If you have specific Windows applications that you MUST have that you have not found a Linux equivalent for, you can try installing the wine package and perhaps playonlinux (a front end for installation). Wine tries to provide a means to run a Windows program. By far, not all will run. Unless something has changed you also can't use USB devices (outside of keyboard, mouse and maybe your printer). USB flash drives, wireless adapters, etc., will not be accessable.
Depending on the specifications of your PC you may also be able to install something like VirtualBox (free, but get the download from Oracle's site) and run Windows in a virtual machine in Linux. This will have access to your devices and wireless. You'll need some sort of Windows installation disk to install Windows as a virtual machine.