Ubuntu does have a nice archive manager. I believe it's called file-roller.? But anyway, downloaded programs will be in tar bz2 or whatever formats, and you should be able to open them with the archive manager oh software manager (i forget what the Ubuntu specifics are). If you want you can download them and install completely from the Ubuntu software sources things. God damn I really should check to make sure I'm getting these names right. But anyway, if you're talking from the terminal, Ubuntu's pretty simple. To download and install a program, say x-chat, you'd type "sudo apt-get install xchat". That is if xchat is in your repositories, which it is by default. Breakdown of the command, sudo is to temporarily give you root access until the end of the command. apt-get is the command to download, remove, install, etc. programs with Ubuntu. install is the parameter telling apt-get that it is in fact installing the program. xchat is the program name. It will also install anything that the program is dependent on.
For those about to hack, I salute you.