Quote Originally Posted by FreeTheCheese
So, say I download a program off of the net, (a linux program) how do I actually run it? Do I have to compile it, or create a symbolic link or wat?
Depends. First you should always look for a README or INSTALL doc. Sometimes you might get a script, make it executable and then execute it.
Debian uses apt so you simply type : apt-get install <someapplicaiton>
If it's source code then you may need to do ./configure && make && make install.

And also, how do you know what a program is if it hasn't got a different ending?
File extensions are not necessary in Linux but you may use them if you like. For example:

homework.monday
homework.tuesday

are both perfectly acceptable. Use whatever you like. Wouldn't it suck if an application was too stupid to know what to do with a file simply because the file had the wrong file extension?