As others have already pointed out, a lot of Linux software is installed from repositories in a standard way, and once you do that, it updates automatically.

However, as you've already discovered, there's more than one way to install Linux software. Repositories are still the most common way, but installing single .deb's (Debian based distributions) or .rpms (RedHat packaging format) is still there and there are more like Snap, Flatpak and Appimage. You can also often just download the source and compile it yourself. It's a very diverse ecosystem, not like the controlled worlds of WIndows and Mac.

In this case you can download the .deb file, and pretty sure you can even install it through the file manager, just like in Windows (I don't use Ubuntu, but I think it will just start GUI installation if you double-click on a .deb file).

But lot of things in Linux are still done through the terminal, like changing configurations and, yes, installing things.

Getting used to it takes a while, especially if you're not used to modern Windows administration through PowerShell.

The important part is trying to figure out what each of the commands do and that the output actually means. Software that supports Linux normally has very clear instructions (like in this case), but it does require willingness to change habits, technical curiosity and some trial and error (patience). It's not quite as polished experience as the commercial OS's. There's still a lot of rough edges for the user.

Good luck on your Linux journey!