Now, what do you mean by "executable"?
Most of the Applications you need are in the Ubuntu repositories. You can 'elegantly' install them from 'Ubuntu Software Center' (available by default on any ubuntu) or with 'Synaptic Package Manager' (which you need to install first).
However, there are certain packages that may not be available from the 'repositories', for such applications you need a .deb file (which is an executable install package file for Debian based Distros, like Ubuntu). Just double clicking the .deb file will install it via 'Software Center'. Simple.
If .deb is not available then you need .tar.gz or .tar.bz2 file for that application and we are on our own to install it.
To install .tar.gz or .tar.bz2 (which, by the way, are compressed files) follow the steps below from the terminal:
$ cd packagefolder
$ tar xvzf packagename.tar.gz (if the file is .tar.gz) OR
$ tar xvjf packagename.tar.bz2 (if the file is .tar.bz2)
$ make install