When you spend one half of your life using Windows, switching to Linux can be a little bit confusing at first. Just like any other new thing in your life, it may need growing accustomed to it. While Linux may look similar at first, there are some things you need to know before you embark on your Linux journey.
The filesystem
It is radically different than what you know from Windows. While in XP or Vista you have your Program Files and Windows directories, each with their sets of subdirectories, the folder structure in Linux is composed of several directories, each displayed in a tree format. For example, 90% of the configuration files for the application and system reside in the /etc folder. Most subfolders you'll encounter here belong to one or multiple other applications or the system itself. The /boot folder holds the kernel (core of the operating system) and the configuration files needed by the bootloader.
/usr is where your programs will be installed. You can compare /usr to your Program Files from Windows. /usr/bin is where almost all program binaries go. I say almost because some system utilities will be installed in the /bin directory located in the root of your partition. /var contains your logs and in most Linux distributions is also the place where your Apache web server root will be located, if you chose to install the server.
/media (also named /mnt in some cases) is where you'll find your harddisks, mounted USB drives, the CD-ROM and DVD-ROM drives and other mobile storage devices. The system needs to mount these as directories, just like you have to mount a network drive while in Windows.
/root belongs to the root user. The root user holds absolute power over the system. He is the system administrator and this account should be used sparingly. Launching certain commands with root privileges could be harmful for your system, just like in Windows.
/opt is the place where some 3rd-party applications will install their files. It is seldom used by programmers as a place for their applications.
/lib will hold your library files. Library files can be best compared to Windows .DLL files.
Finally, the /home directory is where all your user files are. When you create an account, a folder that bares the same name as the username will be created under this /home directory. Subfolders in your /home/username/ directory can hold data for the application you installed, your personal files, pictures, videos and documents.
Applications
You won't find an .EXE in Linux. Executable files (also called binaries) become executable not by extension but by permissions. If a file has executable permissions, then you can... well... execute it. If you ever used FTP to upload files and change permissions for those files, you'll understand better how this works.
Files in UNIX-like systems can be readable, writable, executable, or a combination of these three (RW, RWX, RX, WX). A BASH script for example will open just as a regular file if it doesn't have the executable bit set on it. Put an X permission on it and it will launch just as a regular program.
However, stay assured, you will rarely need to modify permissions for applications as they come with all their necessary permissions already set.
When it comes to installing applications, you can do it just as you did in Windows: search for it, download, double click, install. There are other, faster ways to install applications in Linux. Depending on your Linux distribution, you'll be able to access software repositories. These are basically servers holding software packages. Through a command line or GUI program you can search for the application you desire and install it in just under 10 seconds, cutting the time you otherwise use to actually search for the software.
Permissions
Linux is very strict with permissions. Trying to install a program as a regular user will in most cases be greeted with a password window asking for permission to setup the new software package. Modifying system files and configuration files belonging to global applications also require permissions.
Keep these things in mind before you start using Linux for the first time. Many new users are puzzled enough by the new operating system they're experiencing and get frustrated when they don't understand why things are like they are.
All new things have a certain learning curve that you'll need to pass through, but I hope this would have been a useful introduction.
Cheers,
Maarten