i'd never try xandros, but I would like to answer partial of your question.
Originaly linux is not depends extensions, no matter you want to install a program or run a program. Depends on distro, currently ubuntu, debian using .deb as installation package extention. Suse, redhat, mandrake, fedora and etc is using rpm. However, still many program using a more primitive way which is compile from source (.tar.gz or .tar.bz).
normally if you want to run a file, you must make sure the file is 'executable'. Right click the file a see the properties then you can find it somewhere around permission's tab. Double click the file in your GUI normally will run the program (or in command line can type ./yourprogramname or /pathto/yourprogram) if the file is executable.
in linux majority of driver is support by the kernel, others like ati, nvidia and etc you need to download their official driver from their website and follow their instruction. Normally the installation won't be very easy for a linux newbie.
In linux, please do not expect you can play all the windows game, it not because of linux is lousy but the game vendor don't want to support linux (so many reason). However, you have many alternative to play windows game in linux using following software:-
wine (completely free, currently support warcraft3, ragnarok, red alert, half live and etc popular games)
cedega (cost little bit money, but support more games than wine)
vmware (commercial, it allow you run linux and windows parallel, but consume many resources. Don't expect 3d game)
There is many native linux game in the world, some of them good and some of them poor(still under development). Please visit:-
If you want to learn linux, you need to learn too many thing yourself. Below is jungle of resource for u.