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What distribution are you using?
In general, you use your package manager to install programs. You point them at a repository (collection of precompiled programs that run on your distribution) and then use their graphical interface to install the programs you want.
Typically, you can't just download an *.exe that works on a windows machine and install it. You would first have to use Wine (an implementation of the windows API) and even then your chances of success are not always very good.
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how do i download and install programs
