synaptic package manager gui for beginners...

wget, apt-get or equivalent command line tools for advanced users...

For beginners: Linux programs are distributed as "packages" (or " software installers" in Windows). There are a few "package" formats. Common formats are ".RPM", ".DEB". These formats contain installation scripts, compilation scripts, configuration scripts and sometimes binary or zipped files encapsulated inside a package.

http://en.wikipedia.org/wiki/Linux_package_formats

http://www.desktoplinux.com/files/misc/mepis-synaptic.jpg