That is the main problem with linux, every distro has their own kind of packet manager/installer and their own way of doing things... Unitedlinux was a project to change this, by making all major distros use same kind of standards to do things... Many linux companies was involved, including SCO, but as darl mcbride joined, and sabotaged the whole project on purpose..
But anyway, things are not hard to install if you use a distro with a decent package manager, like the distros based on debian.. With debian based distros, i only have to type apt-get install vlc and it will download both depedencies needed and vlc itself and install it all automaticly, without you having to do anything else.. With apt-get, i find it easier to install and update software than updating/installing software on windows. RPM just suck, as it does not solve depedencies for you..
Just here the other day, i installed kde3.2.3 in less than 10mins by just typing apt-get install kde-core or something... apt-get is really sweet :-D