As in Windows you have installer files in the form *.exe or more probably Setup.exe and the 'Add/Remove Programs' for installing/uninstalling software, in Linux one of the installation systems is RPM (RedHat Package Manager). As the name suggests, its a package manager. You may have packages in rpm format with the extension '.rpm' which wou install using the package manager RPM. e.g. if ou have firefox-1.5.1.rpm, you install it using the following command -
rpm -ivh firefox-1.5.1.rpm
The links provided would be much more useful for further reference.