If you are using the Gnome or KDE desktop, it is likely already on the menu. Where will depend on what category it falls into.
If it's not there and if it is in your path, you can open a terminal and type the program name to test whether it runs. If the program is "fred," typing "fred[enter]" on the command line should start the program. If it runs, you can use the menu editor to add it where you want it.
To find out where the executable is, you can use sudo whereis
or sudo locate
(locate can return an overwhelming amount of information). For example, if the program is called "fred," then "sudo whereis fred" should reveal its location. Open a terminal and type man locate
or man whereis
for more info.
The Linux file structure is nothing at all like Windows.
Executables are normally placed in /usr/bin, sometimes in /usr/local/bin. Libraries (similar to *.dlls) are usually in /usr/lib/something or other. Icons are likely in /usr/share/something or other.
There's a detailed introduction to the Linux directory structure here; it's different, but, once you get the hang of it, it's a lot simpler: