It is important to point out that Ubuntu is not Windows. There is a whole different philosophy behind any Linux distribution than there is behind Windows. With Windows, usually independent software vendors are responsible for seeing that their programs will install and run on Windows. Most Linux distros, explicitly including Ubuntu, will tweak most programs to make sure they run smoothly with other programs on the distro. So when you want a program like gimp or ISOWriter you go to Ubuntu's repositories rather than to the gimp or whatever home page unless you have good reason (and I run firefox from Mozilla on my Debian box rather than firefox -- or IceWeasel as it's called -- from the Debian repositories.
When you install Ubuntu, it installs a package management system which includes programs like dpkg, apt, Synaptic and Update-Notifier. You will usually be dealing with the last two, which call the first two as part of their processes. apt handles downloading, and lists the repositories it uses in a file called /etc/apt/sources.list. Usually Ubuntu will ask you to be specific about what repositories it selects during installation. When you want to update the system, you can do it by opening a terminal and typing "sudo apt-get update" and "sudo apt-get upgrade" (because Linux is a Unix derivative), or you can search your menuj for Synaptic and update notifier, and use those. If the program you want is not available from the repositories you can edit that file I mentioned (Ubuntu forums will help you understand how) or you can surf over to the program vendor's web site, if it is not available. It won't be as reliable as an Ubuntu-specific version, but it will usually run.
Since you are just starting out, and since Linux is a different Operating System which takes getting used to, I suggest surfing over to:
http://www.wubi-installer.org
finding out about Wubi, defragmenting your hard drive and installing it using Wubi. It does this without repartitioning your hard drive and it runs on top of Windows -- that does make it a little less stable but really installing it can, among other things, void the warranty on your computer and it's worthwhile to decide you like it or not before taking a step as drastic as that.