installing 3rd party software

I installed linux mandrake 8.2 When I try to install a 3rd party program, i.e., Norton Antivirus 2002 by clicking on the setup program, nothing happens. When I right-click on the setup program, it gives an option to “open-with” various programs, none of which seem to work.
Please help, as, you can tell, I am a Linux novice.