Welcome to LQ.
Being "fresh of the windows side", as you put, is an experience we all went through. In fact, you can go on using both Linux and windows if you like, as part of us still do. Linux is great but you'll find that there are just some things that windows still does better. If you're a gaming addict or you have some MS software that won't run on anything else, MS is still your best choice. Then again, I'm sure you'll also find things that windows can't do for you.
Now, the main thing at this moment is that windows and Linux tend to do do things differently
. For starters, Linux does not use .exe files; PCLinuxOS uses RPM files and other Linux distributions use still other formats (for example, DEB files). Unlike .exe files, LInux software files are not installed by simply clicking on them but by using a a command from the CLI (=command line). If you feel that the prospect of having to use a command line is not a pretty one, don't mind, because modern Linux distributions have come up with ways of automating the whole process. If you take a look at your taskbar, you'll see a round icon that serves to launch Synaptic Package Manager (which can also be launched from System > Administration > Synaptic Package Manager). If you click on it, you should be prompted for your root password.
This request for your root password is normal; it illustrates another fundamental difference between Linux and windows: Linux does not give the user full permissions. As soon as you do something that might damage or infect your system, you are required to "become root" by using the root password. "Root", if you wonder, is the administrator of the system; by keeping the password secret, you can be certain that no-one is going to fool around with your system. This is one of the chief reason why Linux is so much safer (no anti-virus needed!), To be fair, windows can be set up to use administrator and user accounts, too, but the system is not watertight and it's so easy to turn off that most people do so (if they set it up in the first place).
So let's get back to Synaptic Package Manager. You should be presented with an extensive list of software packages. Each one should be accompanied by a short line that describes what the package contains. Some will be pretty easy to figure out, others may not start making sense until you get a bit more experienced. By just checking the box for an item and clicking Apply, Synaptic will retrieve the package from the internet and install it for you. No further action needed. You can also select several packages at once before you click on Apply. And sometimes Synaptic will fetch more packages than you asked for because of "dependency" considerations. This means that certain packages cannot function on their own but depend on one or more different packages. Synaptic will save you plenty of headaches by figuring out what those are and installing them along with what you selected. when you're done installing, Synaptic can be closed again.
One of the first things you should install are video drivers. Just search Synaptic for ATI or Nvidia depending on your video card. Then you can install Beryl in the same way. Here's an article that should be relevant:
There are plenty of tutorials on the internet where you can find more information about running Linux. Here is just one as an example:
If you want to save anything, you have to do so either to your desktop or to your home directory. There are plenty of directories but the directory that bears you name in the home directory is the only one you can access as a regular user (the other ones contain system files so only root has permissions to explore/edit them). Just don't get lazy and start using root all the time; neither should you log in as root unless you absolutely have to. Doing everything as root is the best way of making your system as vulnerable to malware as windows.