Linux

sudo synaptic for a graphical package manager.

Otherwise, just use sudo apt-get if the program you want isn't there, you may need to download the source and compile it yourself

People here saying you can just download and run the .deb just like the .exe

Aren't you forgetting the "add +x permission" step?

Not specific to Mullvad, but you can use flatpak or your distro's package manager (probably apt) to install programs, On Ubuntu, you can open the software program and search the programs to install it, that should be the first thing to do when you want to install something rather than going to the website.

my tactic if the site looks trustworthy is always:

• find the explanation for the distribution I use
• ignore literally all the text
• just copy paste and execute everything that looks like a command in order in the terminal works like 8/10 times

AFAIK, most distros will also have a package manager/software center where you install flatpaks (or snaps if you are on ubuntu). Think of flatpaks akin to mobile apps where everything needed is all together in one package. Not all apps will be flatpaked though, and VPNs tend to be nearly always direct binaries due to needing some higher level permissions than what flatpaks will allow.

Essentially, what im saying is no, not all apps need to be manually installed, but some might need to for one reason or another. And sometimes, knowing a little about how some of these apps are installed might actually help you understand linux a little more (it has in my case)