Ubuntu Lessons

Ubuntu has a GUI interface for installing applications: Synaptic Application Manager
Via command line you could use:

1.  the default installation manager, apt, (i.e. apt-get install xxxx) where xxxx is the application.
2. dpkg, (if you've got a debian package)
3. From source, (i.e. unpacking and running an installation script or executable)
4. rpm via alien, although you shouldn't generally need to do this