Well, it is essentially the same process - except, in Windows (because it is a strictly-regimented platform) you are just copying over pre-compiled binaries.
In the lowest-form of software installation, on UNIX and Linux, you - the user - compile the software setting things like which directories you want the executables to do, the documentation, the shared libraries, etc.
When you encounter a package management system like Debian's DEB, Red Hat's RPM, Slackware's TGZ or PC-BSD's PBI, the software has already been compiled with regimented settings like where the documentation goes, the executables, etc.
I do not know if you can do this with RPM-based systems (Red Hat, Fedora, Mandriva, PCLinuxOS, etc.) but on DEB-based systems (Debian, Ubuntu, etc.) there is an option within the graphical package-management front-ends (like Synaptic) to see where the files in those packages will be placed.
The basic thing to remember when learning UNIX and Linux: It's probably a lot simpler than you think.