I feel a proper twit having been with Mandriva for a whole 24 hours, but....
Common man after 10 hours you should be compiling your own kernel, and after 15 hours be coding your own OS.
The best way to install programs in linux is to use your distro's package manager. In Debian it's as simple as apt-get install package-name
Here is a link to the Wiki on Mandriva
What kind of programs are you trying to install tar, .rpm?