I think most of them are exe.. Programs such as the install for drivers for the motherboard and sound card as I have no sound
a *.exe file IS A MICROSOFT EXECUTABLE and will ONLY run on xp or vista
also those drivers ( the linux ones) are already installed
ubuntu comes with all of the 3d party drivers
the one for your 3d card ( ati or nvidia) and your sound card
my "sound blaster "card works out of the box using pulse audio ( i use fedora)
this is about as much as i can help seeing as i don't run Ubuntu
BUT some system specs would help others
Is it a desktop or laptop?
is it a brand name ( HP,Dell,Sony,...)
what is the sound card ?