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This guide will go over many of the common methods of installing applications.
Disclaimer: Many operating systems listed here are not private (such as Windows, iPhone, Ubuntu, Fedora, etc.) I am still including instructions here, however, as it might take some time for you to adapt to a truly private system, and in that time period you will still want to know how to install applications.
In order to install an app via msi or exe, download the exe or msi file from the internet, go to the file, and double click on it. If you get an error, go to Settings-->Apps-->Apps and features, click the drop down menu under "Installing apps", and choose "All apps from anywhere". You may need to enter an administrator password, or click "allow" or "run", if prompted. Now just follow the instructions as necessary. Make sure to choose the "custom" or "advanced" installation, and read all directions carefully, as this helps prevent accidental installation of bundleware.
In order to install an app with 7z, you will need to first install 7-zip [1] using the instructions above. For all files, you must also download the zip or 7z file from the internet. Then, go to the file, double click on it, click "extract" or "extract all files". If this is the first time you are extracting a 7z file, you may be asked to "choose an app to open this file". If that is the case, go to More Apps-->Look for another app on this PC-->7-Zip-->7zFM.exe and you should then be able to click "extract". Once you have extracted the file, then you just need to navigate to the exe or bat file, which is usually located in the folder you extracted or in a folder titled "bin" in the folder you extracted, and double click on it. If you get an error, you will have to allow apps outside of the Microsoft Store as shown above.
In order to install an app via jar, first, install openjdk [2] and download the jar file from the internet. Then, go to start, search for "command prompt", right click on it, then click "more", then "run as administrator", entering an administrator password if necessary. Finally, you can type "cd Downloads && java -jar Filename.jar", where "Filename" is the name of the file. This should begin installation. Be sure to read all instructions carefully and choose "custom" or "advanced" if you can for the similar reasons as with the msi/exe file.
In order to install an app via dmg, download the dmg file from the internet, go to the file, and double click on it. If you get an error, you will have to manually allow other apps. To do this, click the menu and go to System Preferences-->Security & Privacy-->General. Then, click "Open Anyway", followed by "Open". Then, drag the app that pops up to your Applications folder and enter an administrator password if necessary. Then try dragging the application over again, and this time, it should work. Now you can open it from your Applications folder as necessary.
In order to install an app via pkg, download the pkg file from the internet, go to the file, and double click on it. If you get an error, you will have to manually allow other apps as shown above. Now just follow the instructions as necessary. Make sure to choose the "custom" or "advanced" installation, and read all directions carefully, as this helps prevent accidental installation of bundleware.
In order to install an app via brew or macports, first, install brew [3] or macports [4], depending on which program your app ask for. Then, open "terminal" and copy and paste the command shown by the app's website. For instance, if it asks you to enter "brew install --cask app", then copy and paste that.
In order to install an app via the iOS app store, first, open the app store. Then, search up the name of the app and tap on it. Next, tap on "get" or the listed price. You may need to enter your apple ID and/or apple ID password. The app should then begin installing.
In order to install an app via ipa and the altstore, first, install the altstore [5]. Then, download the ipa file from the internet. Next, open the altstore, go to the "my apps" tab, tap the "+" button in the top left, and then select the ".ipa" file you want to install.
[2] OpenJDK installation guide