Depends on the software, if you want general programs that are not installed, you can do this in 2 ways, you can either look in the Ubuntu Sofware Center, or you can use this command in the terminal, lets say you want to install the graphic design program called GIMP (basically a free Photoshop alternative), you would put this in the terminal.
Code:
~$ sudo apt-get install gimp
Then you put in your password, same as your login, and it'll install automatically, and in some cases, it'll install extra plugins that are required automatically as well, if prompted, answer Yes or No on some questions that may appear, you'll get used to it.
HOWEVER
If a program is NOT in the repository, have someone else help you out, because I honestly don't remember, I haven't used Ubuntu in quite a few months, and installing programs using the terminal is pretty much the only thing I can remember from the top of my head.
EDIT: Talking about repositories, if a program that you want to install is not in any repository that you've added, it won't be found+installed. This is terminal-wise.
EDIT2: And when I meant not in the repository, I mean that you downloaded a .tar.bz2 file, which is pretty much a Linux Zip file. As a beginner though, those won't be too common to you right now. Your experience with Ubuntu will gradually become more advanced, but trust me, you will barely, or even not notice. Your gonna love Linux!