Wdym? Installing things on Linux is much simpler. There is exactly one preferred way: the application repository from the distribution with a nice GUI interface for it. File types of archives play no role in that and why would that even be relevant?
Windows only recently got something similar with the Microsoft store, and before is was a super confusing mess of lots of different types of installers and generally a huge security issue to run .exe files from unstrusted random internet downloads.
Your explanation sounds more like you are trying to use Linux like it was Windows XP. But Linux is not Windows… you are holding it wrong 😅
Yes, the Windows store is crap, but it is still miles ahead of running random .exe installers.
And the Ubuntu store is like the worst possible example you could find 😱
Just any normal distribution repository from for example Debian or Fedora works great. And Gnome and KDE have very easy to use GUI interfaces for these and ideally Flathub is also integrated. Super easy and seamless, no joke at all.