Installing Downloaded Programs????

It depends on type if file.

- DEB packages - use gdebi (GUI) or dpkg (terminal)
- .sh/.bin/.run - in terminal "sudo ./file.run" (same for .bin and .sh)
- .tar.gz/.tar.bz2 - source you need to compile them

https://help.ubuntu.com/community/InstallingSoftware
https://help.ubuntu.com/community/SoftwarePackagingFormats
https://help.ubuntu.com/community/InstallingRunPackage

Unfortunately the following programs:-
Lord of the Rings Online
Halo
are purely for Windows and do not have a Linux version, you therefore would have to run those applications in a Windows compatibility layer called Wine. It can be obtained by executing the following command:-

sudo apt-get install wine

But remember this, all Windows programs and games cannot be run on Wine and they also may not work that well, so you would be better off using Linux versions or derivatives of those programs that work on Linux natively. If you are wanting more information about Wine and how to use it, you can refer more from the main Wine website found here:-
http://www.winehq.org/

Flash player can be installed by simply executing:-

sudo apt-get install flashplugin-nonfree

You can find more applications that can be installed through the repositories by going the Synaptic Manager in Ubuntu or Adept in Kubuntu.

fllas player can be instaleed from synaptic package manager. From multiverse non free repos.

flash player can be installed from synaptic package manager. From multiverse non free repos. Once you install flash i guess you'll be ready to play lord of the rings too..

Unfortunately Adobe really messed up the flash player and the package in ubuntu does not work.

Please see http://ubuntuforums.org/showthread.php?t=636397 for more information.
Assuming you have Ubuntu 7.10 32-bit, you will install the package (download, double-click, enter password if asked, and click Install Package): http://ubuntuforums.org/attachment.php?attachmentid=53648&stc=1&d=1198033466

Installing Windows applications like Halo. For inforamtion on WINE: See https://help.ubuntu.com/community/Wine and http://www.winehq.org/

Install the package wine (you can do it via Synaptic Package Manager or in the terminal as stated before- sudo apt-get install wine)
Alt-F2 -> winecfg
Audio tab -> uncheck OSS and check ALSA -> OK.

Not all applications will run and it may not be perfect, so running native applications is by far preferred (there are many games, free and commercial, search for them or ask me and I will let you know; see https://help.ubuntu.com/community/Games for a relatively small list)

You can also check the WINE AppDB for a particular application and see if it works, how well, and if any steps must be taken. For Halo (the first one) see: http://appdb.winehq.org/objectManager.php?sClass=version&iId=2720&iTestingId=14461

Guide to install World of Warcraft: https://help.ubuntu.com/community/WorldofWarcraft