Linux is bad for naive users especially while installing new software. You always see some dependency missing and all. That's what I used to think. But no more. Linux has given a break from messy-dirty way of installing a software to a very very clean and simple way.
Yes, it's by Fedora 9(New name for good old Redhat), and it's called YUM.
Yum makes installing new RPM(Redhat Packet Manager) butter smooth and a slightly simpler than Windows.
All Yum demands is an Internet connection and lo, you are done.
Just download your desired RPM and specify it to yum like this:
$yum install my.rpm
After asking you for a 'YES', it will take care of everything.