Well, the difference is that you had to go get that exe file, so it’s a bit different. The apt-get command goes out and downloads the package, installs and configures it. Apples and oranges.
There is also Synaptic, which does all this in a GUI interface. I thought that’s how Ubuntu users generally install stuff.
I prefer the command line myself; it’s easier.
I'd always try the application install program, or Synaptic, first. But some applications did not install well. I'd go to the website and it would say to use Sudo commands.
Sorry, but I find XP to be far easier. And going to "get" an application is no big deal to me. I like browsing sites to see what is said about an application before I download/install it.