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You don’t generally download the file like you would an exe or MSI on windows. Rather you enter a command line that tells Linux to connect to the repository (like an app store) of that particular type of Linux, pull the latest installation file and install it.
You can still download the file and install it directly, but it’s not a straightforward double click like on windows.
There are GUI wrappers that issue the equivalent commands for you, but a lot of Linux users would just write something like this on the command line:
sudo apt install vlc
That’s how you would install VLC (media player) on Debian linux without any prior file download or browsing. It connects to the Debian repository for you, downloads and installs.