Personally I use Amarok
, but that is personal preference.
Rather than downloading it from the link on their homepage, I would see if its available from your version of Linux's "repository"
Unlike Windows, most of the software you are likely to use doesn't need to be bought, downloaded or installed by running an installer. Linux uses a system that is a little like the iPhone App store or Android market (except you never have to pay anything
It depends on which "distro" you are using (Red Hat, Ubuntu, Suse, etc), but most have a software management application that lets you search for and install the software you want.
In Ubuntu, click "Applications", then choose "Software Center". You should then be able to browse the available software by category.