Very easy way
Open Applications menu and choose Add/Remove… Search for the program you want to install and select it. After that apply the changes. Thats all.
If you can't find an application, change the filter on the right side of the search box to show all available applications.
Run Synaptic, search for you application, set it to install and apply.
Command line way
Just run terminal and type:
sudo apt-get install name-of-your-application
Then type in your password and wait for the installation to end.
With no sound, sorry:
And a closer look at installing freebirth, free alternative to Rebirth.