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I'm a first-time linux user.
I just installed Mandriva and I have no idea how to use this.
I would like to know how to install .gz files.
And can I install .exe files?
That's all for now, I'm pretty sure there will be more questions later...
Linux is something which everyone learns by toying around with it. There are some tutorials related to specific distros but I am not aware of it. The best way to learn linux is "just use it".
As for your questions, you cannot install .exe file in linux, it is strictly a windows format, though you can use wine to run some windows applications. But as you said, you are new to linux, I suggest you not to use wine at this stage. Linux have every alternative for windows application. Just search google and stick with the linux counterparts. When you gain some experiance in GNU/Linux platform, you can use wine by yourself, you will need no help then.
.gz is a compress file format in linux platform like .zip and .rar, there is a command to uncompress .gz archive, but since this is your first time I suggest you to stick with the GUI archive manager that comes with your installation. Mandriva's default desktop environment is KDE, since you have it, you can use Ark to uncompress .gz archive. You can find it under K menu.
I am a new to linux also, here are a few tips that might help.
It's very difficult to do, but do not think of linux as if it is a windows clone. I was a windows power-user before I switched, and I still start hunting for things where they would be in windows, which under linux is too often totally the wrong place. If you have any problems, a quick trip to google can get you pointed in the right direction.
Secondly, never be afraid to ask questions. There is almost no such thing as a trouble free linux install, in which everything works perfectly right from the get go. Most things are simple to fix, and if a quick google search doesn't give you any leads, ask. Thats what we are here for.
Almost every windows program has a linux equivalent. Almost all linux programs can be found in a central library, accessed through a package manager. I am unsure what the default manager is for Mandriva, but Synaptic and Adept Package managers seem to be quite common. You can find almost any application you need right there.
Once again, welcome. And may you never fall under the oppression of Mr. Gates again.
With Mandriva, I believe the package manager is urpmi. You should use that whenever possible to install, update, and remove packages. You can search the package base to see if the program you are interested in is mentioned, or if a package doing the same thing is available.