I tried to download itunes,and it worked far as loading but when i clicked on it,it said "an error while loading this archive". And it always says that everytime i try to download something.
If you're trying to open a .exe file, it's likely not going to work. Ubuntu uses different files to install software. In particular, iTunes is not developed for Ubuntu or any distribution of Linux. See here for the difference between installing software on Ubuntu versus Windows.
To browse and install Software, check out the Software Center. More information here.
You can browse the packages available for Ubuntu here: https://apps.ubuntu.com/cat/.