Especially considering that anything not from an app store is much easier to install on Windows (double click on GUI installer) than on Ubuntu (mess around with dependencies, and compiling stuff). Everything on Ubuntu comes from the Ubuntu store, or the Aptitude store. Not an easy task to download something like an exe off the web and install it
First of all, every damn time someone brings up the "you just have to double click the installer on Windows" argument, they leave out the steps before that (most prominently, locate and download a safe copy of said installer).
Second, I don't know what FUD you have been told about Linux on the desktop, but contrary to what you assert about it, no, installing applications on almost all widespread Linux distributions I can spontaneously think of - except Gentoo - requires neither compiling nor messing around with dependencies.
Third, no, not everything on Ubuntu comes from the "Ubuntu store" or "Apitude store" - in fact, neither of those exists. If you are talking about the Ubuntu Software Center, that's basically just a fancy front-end for APT - as is Aptitude. If I remember correctly, the UCS also allows purchasing of some commercial software as of recently (I don't use Ubuntu).
In addition, Ubuntu (and derived distributions) have a thing called Personal Package Archives, whose very concept is to make it possible to easily add your own package sources to complement the official repositories. The UCS can handle those, too.
Also, there's a very important distinction between a package repository as used in many Linux distributions and a closed app store: the former is, at least to an extent, managed by the community and the users. You cannot say that of the latter.
And if someone wants to give you simply a precompiled binary, they can do that too. Though in Linux you need to set the executable flag on it so you don't shoot yourself in the foot like you so easily can with malicious .exe files.