Add software to Raspberry Pi
To add software to a linux machine you can download source files of code, compile them and install the software. You can also access binary files (exe files on MS Windows are binaries). These files have been compiled by someone else for users to install. To compile software for a pi, you must compile the software for the particular processor that a pi has. This is an Arm processor. A lot of binary software people download from the Internet is for Intel processors, not Arm ones.
Luckily there is an alternative to compiling your own software.
Software on most linux platforms is maintained via a "repository".