First of all, u have to know that windows executables(.exe files) DO NOT work under a linux environment(atleast not directly).
You need to have .RPM or .TAR or .TAR.BZ2 files to install new software.
The RPM can be used directly to install new software as in windows thru your Mandrake package manager. Mind it that RPMs are system specific. So you have to download an RPM which is made for your system only.
However, the other 2 files have to be extracted first and then compiled for your system which is a bit hectic process for a beginner.
If you have a good system config, I would reccomend you to go for either Suse or Knoppix which are much easier and user friendly.
You can still search for the RPM you want at ....
http://rpm.pbone.net/
I would reccomend you not to go for the source codes ie .tar and .tar.bz2 files.
Here's a tutprial for software installation on Mandrake...
http://vsbabu.org/mt/archives/2002/1..._software.html
Here's another short info....
http://www.linuxforums.org/forum/topic-27906.html
You can always use the man pages for further reference...
$ man
instruction
To know more bout the man command...
$ man
man