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This is a common feeling that each one of us initially go through especially when we make the switch to a newer and better operating system which also comes at an unbeatable price. But then one of the chief strengths of GNU/Linux is the strong community support that none of the closed source software product companies could hope to provide.
On this note, Simon Gray has written an excellent article titled - "How to install anything in Ubuntu" - which could put a new Ubuntu user at ease and hand hold him/her in the fine art of installing software packages in Ubuntu. The article is replete with screen shots and explains how to install software packaged in a variety of formats including deb,rpm,tgz, bin and exe. He also dwells on searching for packages in Ubuntu as well as enabling extra repositories to get the software package normally not found in the default official repositories. In short, a very nice article worth spending ones time on.