Linux does not use file extensions on binary files. Most applications on Linux can be installed one of three ways.
1. Through a package manager, such as Synaptic (GNOME) and Adept (KDE).
2. Through source that you can compile and build yourself.
3. Pre-built binaries, especially for your distro.
I always find myself having to go to number 2, because the applications I use never have pre-built, and aren't in the repositories.
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