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

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

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

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

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)

Open the terminal and copy and paste the commands found in their install guide for Ubuntu:

# Download signing key 
sudo curl -fsSLo /usr/share/keyrings/mullvad-keyring.asc https://repository.mullvad.net/deb/mullvad-keyring.asc

# Add the stable repository
echo "deb [signed-by=/usr/share/keyrings/mullvad-keyring.asc arch=$( dpkg --print-architecture )] https://repository.mullvad.net/deb/stable $(lsb_release -cs) main" | sudo tee /etc/apt/sources.list.d/mullvad.list

# Install 
sudo apt update
sudo apt install mullvad-vpn