It’s a different paradigm for windows users. “Why won’t this exe/msi install on my computer?”
But also, once you realize the unlimited potential to customize it’s pretty special. I, for one, hate using anything without a tiling windows manager.
Red hat based? Install the RPM. Debian based? Install the deb, generally? Install from the repository. You can also install from source if you’d like
Installing things on linux is generally the same as phones. There’s a shop-like GUI where you can look up your applications and get them, they’ll also update automatically.
If the software isn’t in your distribution repository, that’s when it starts to be like windows, you need to hunt it down and either get an appimage or something like that, or build and compile it yourself.