Installing applications in Ubuntu is different to Windows. You're probably used to the Add/Remove Applications function in Control Panel. Ubuntu has a similar function that can install as well as remove applications.

A huge selection of free applications are available stored in repositories. If you would like to install additional applications, press Applications → Add/Remove.... Then, browse the selection of packages available and check the ones which you would like to install. When you have finished selecting packages, press Apply and wait for the installation process to finish.

If you know the name of a specific application, you can use Synaptic (System → Administration → Synaptic Package Manager).

The advantage to using these methods are that you will be automatically notified of updates.