Dach, it isn't always that hard to install programs. >_>
I mean, sure, there is the occasional program that you'll have to install by hand, but did you try finding the repository that the program was stored in, adding it to synaptic package manager (Which it might be in by default in the first place, try searching it), and then installing it through that? While it still isn't as easy as installing from a .exe it's not very hard.
ALSO with .deb files (Which lots of people are releasing their programs through now
) and the GDebi package installer it IS just as easy as .exe programs to install. Double click, follow the prompts, and BOOM it's there. It'll even get you the various packages that it's dependent on, which is neat.
(And just to mention it, through WINE [which can be a bit buggy at times, but meh] you can install windows programs with just a double click, too.)