For those of us who've been Windows desktop users for a long time, getting a whole load of files which you have to compile can be quite daunting, having been used to just running setup.exe! However, as previously mentioned, most distros have some kind of package manager. I can't speak for the likes of Ubuntu, but I use Fedora, which supports RPM (RedHat Package Manager) files. It's very nice, you just download the RPM and double-click it, just like in Windows!
Also, it's often worth looking for applications through your distro's own add/remove programs (or package manager) application. I've often found that by searching in this I can get a version which is optimised for Fedora 8 and will install itself nicely into my applications menu etc.
Good luck and welcome to Linux - it'll take some getting used to but stick with it and you won't want to go back!