Unlike Windows, most hardware is natively supported in Ubuntu and does not require separate drivers to work. Generally speaking, if it works don't worry about a driver not being installed. Please note: there is a bug so that your graphics card will be displayed as
Unknown in System Settings even if the driver is correctly installed and working--you can safely ignore this (or see this Q&A for the workaround).
If however something isn't working:
Ubuntu uses a graphical user interface called
jockey or "Additional Drivers" to manage and install hardware drivers that are not natively supported by Ubuntu.
To open it hit Alt+F2 and type
A window will then open that will allow you to select additional drivers for sound, video, wireless etc. Here's a screenshot of this window, I already have several drivers enabled.
If something still doesn't work and you don't see a relevant driver in Jockey, please post a specific question including as much information about your hardware and what you have tried!
New applications on the other hand--as opposed to drivers--will have to be installed manually. However, unlike Windows, Ubuntu manages software centrally using repositories--in short, you don't have to go find/download software yourself. Ubuntu Software Center is one option for installing software (see this question) but you can also install from the command line using
sudo apt-get install software-name (see this question for more information on finding/installing software from the command line). You can also download Debian packages (
.deb) from the internet and manually install them (or compile software yourself from source code if you are feeling ambitious)--but it's much safer and more convenient to install from the repositories. Welcome to Ubuntu!