There are many differences in installing software on Windows and Linux. Most Linux distribution use a package management system and repositories. This means that you don't download and install software manually in Linux, but your package manager will do that for you.
For example, to install the VLC media-player in Backtrack you use two simple commands. Since Backtrack is based on Ubuntu it uses the
apt-get package-manager. So first you will update the package database with
After that you install the software with
Code:
apt-get install vlc
This will install VLC and all needed dependencies.
Since you have to ask this very basic question I would recommend to install a distribution that is 1. more aimed at desktop use and 2. more aimed to the new user, like Linux Mint or simplyMepis.