Installing things in ubuntu is usually easier than in windows. You just use synaptic, or adept, or apt-get to get the application(s) from the repositories. The problem is when the application is not in the repositories, but this is not common (it is really hard to find a linux application that is not available in the ubuntu repositories).
In your case this happens because you are using an "old" version of (K)ubuntu. For example, I'm using 7.04 and firefox 2 is installed by default (same in 7.10). Do you have any particular reason to keep using an older version of Ubuntu?
Indeed, installing things in ubuntu is so easy that you can upgrade from one version to the next one using only the update tools.