The new GUI for Fedora (Gnome 3) can be at times a bit confusing for new users, specially if they are used to other operating systems. During the last couple of weeks i have seen a raise of people asking on the IRC challnel #fedora-latam regarding how to install *.exe files or how to install programs in general.
The main advantage of using applications from an official Fedora repository is that all programs that are placed there have a 'digital signature' that validates and warranties the authenticity of this program. This means that the program or application that you install from the repositories is 100% compatible with Fedora and that it has passed a quality control and test period. So if you are coming from windows, you don't have to worry about cracks, or having to click on ten thousand websites before beginning the download. It is that simple.
Here is a short video of how to install applications on Fedora using the user interfaces:
Source (spanish): ¿Como instalar programas en Fedora 15?