To add something:
.exe's are the Executeables for Windows OS. They can be a program itself, or a install package.
On a RedHat based OS (like Fedora) .rpm files are used for install packages (there are other sorts of install packages for RedHat based OSes aswell, but we'll leave those out for now.
Programs themselfs can be just about any sort of file on Linux based systems. You'll run into some wierd files over the years if you try looking at the programs themselfs. But you don't have to!
Btw, on Fedora (and most other Linux based OSes) there is a repository manager. You can install lots of software from there, most likely the program you are trying to install has an equivalent for Linux and can be found in the Software Install program.