It is possible to install softwares from many sources, Internet download, CD, etc. If you have Ubuntu on your computer, you also have access to a software center full of softwares ready to install.
In any case, it is possible to install a software by double-clicking on a downloaded file or on a CD containing the software.
Take care however to make sure that the softwares you download can be trusted, otherwise they could contain virus, especially on Windows.