[ubuntu] Why is it so hard to install applications off the web?

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http://ubuntuforums.org – Hello, I installed the new Ubuntu today and having trouble installing apps :( I downloaded Vuze and wish to install it but how? I have been using windows for years and thought i would give linux ago but i think i might go back to windows as it dont seem user friendly :( Why can't i just click on a file and it installs like .exe's in windows? lol Cheers Chris (Hardware)