Most peculiar. Installing applications is way easier on most Linux distros* than on any version of Windows. Are you sure that you're not trying to install Windows programs on Linux?
On Debian and Ubuntu, use Synaptic Package Manager. On SuSE it's YaST. On WIndows 7 it's, er, find the publisher's web site, download some binary executable that might or might not try to install malware, you can't really know in advance, and hope that DLL hell isn't about to break out.
No idea about your GRUB problem. I've never had the slightest issue installing OS updates on any Linux. OS upgrades (to a newer version) are a different matter, but I find the 'buntus handle that with aplomb too.
* Of course, that's for apps that are in the repositories. Which is, for most people's purposes, all of them.