I am reasonably new to Linux, about 6 months. My experience so far is that if the program I want isn't part of the original install, the chances of getting it to install are low. eg, I am looking for a download manager, I found several references at tucows, caitoo, Prozilla, Quickdownload. Caitoo seemed the most popular so I downloaded it and tried to install. As usual, errors occured, but the messages gave me absolutely no clue as to what went wrong if anything. An entry was added to my launch button so I tried it. A 'K2' symbol attached itself to my cursor and remained until I clicked on a file to download, whereupon it disappeared and the normal download manager popped up.
It obviously doesn't work, and of course, I can't uninstall it either. I'm guessing that the problem is dependancies. And again, from experience, if a dependancy is required you might as well give up, because unless you have 15 years of experince with linux in console mode, you ain't gonna work it out.
Another example, d4x (downloader for x). I found a reference under debian which actually tells me all the required dependancies, 10 of them. But I have no idea whether any or all are already installed. For instance 'libao2', how do I query the OS to find if it exists. If it was windows I could simply search for it because required files are named exactly as they are. That doesn't appear to be the case with linux. 'libao2' may refer to a collection of files which are probably not named the same.
If this was only one dependency I would probably give it a go, but 10. !!
It is very frustrating, what should be a simple download becomes a traumatic experience, which I'm sure turns off a lot of would be linux users.
Add that to the fact that no version of Linux that I have tried so far will properly utilize my soundcard, and you may possibly understand just how frustrated I am. I really would like to throw windows away but it just ain't possible yet.
I'm sorry for rambling on so much.

It's all a matter of experience. You could just query for the files in windows, because you already know where to look. As for dependencies, tools like apt or portage will automatically install dependencies for you, and are extremely easy to use. Unfortunately, there's no standard way to do any of this stuff, since most package managers are distro-specific. If you're using an rpm-based distro, you might want to head over to rpmfind.net, which is an excellent resource for finding packages.

A few short years ago, I was absolutely new to Linux, and very confused. I found a downloadable manual which got me started, and greately reduced my learning curve with day-to-day operations. It's called 'Newbie's Linux Manual' from a website in the UK (linuxdot.org). Google it up; d/l it. It will be a great help to you. It doesn't have anything about download managers, per se, but it does tell you how to find things on your system, if you have them (plus a lot more).

Downloader for X is nice.

http://www.krasu.ru/soft/chuchelo/