Basically the updater program (update-manager) needs an APT source url, which can be an ftp-server or http-server. But the files on the server needs to be structured in a special way for the updater to work and you can't just add anything to it. These servers are often referred to as repositories (or repos).
A lot of 3rd party applications are available in their own repositories, often you will encounter instructions to add some lines to
/etc/apt/sources.list but you can instead add them through the GUI by going to System > Administration > Software Sources and in the Other Software tab clicking Add... These lines will always start with
deb and can look like this one for Oracle VirtualBox
deb http://download.virtualbox.org/virtualbox/debian lucid non-free
PPA's (Personal Package Archives) is a shortcut (of sorts) to doing this for some programs, but only the ones that are hosted at launchpad.net there is a bit of information on PPA's on this page. Afaik the only way to add PPA's is through the command line (terminal) with this command:
sudo add-apt-repository ppa:launchpad-user-name/name-of-repos
launchpad-user-name and name-of-repos will be differnt in the real world!
You will find the names of the different PPA's on launchpad or you might find people that refers to them on 3rd party sites.
After adding a new source the programs from the new source will appear in the software management tools like Ubuntu Software Centre (or what it's called, I use
aptitude on a command line ;)