What distribution (Fedora, Debian, Ubuntu, OpenSuse, etc) are you using? Typically you download stuff from your distribution's repository. There should be a graphical installer somewhere in your menus that you can browse and find aMSN to install.
Linux typically has all the programs you install in online repositories. Each distro takes care of making sure all the packages on your machine have security updates and stuff. So instead of searching the web for a program and then installing it like in Windows, you just have to look in your one tool to find most any program you could need.
Now having said that, I think *.package files are a special compressed filesystem that you install with Autopackage