How do you install a program in Ubuntu?

Specifically, I'm trying to install the Firebird SQL software.
coming from windows, i'm looking for there to be a "setup" or "install" program, and there's nothing like that.

I've figured out that going to Applications, accessories, terminal gets me the CLI interface, but ...what then?

history: bought all versions of MSDOS as they came out, bought windows 1.0.
learned to program with Turbo Pascal 1.0, bought every subsequent version of windows
as it came out. learned to program in C++ with Borland products.