Starting with Joomla! 1.5.0, the installer became "Universal" - or more easily said, you go to the same place to install your extensions, templates, plugins, and so forth. Each of the add-on programs are managed from different menus, but installed from the same place.
There is, like most things in Joomla!, more than one way to do something. Installation is no different.
Each 'extension' usually starts with a special prefix that helps you identify what it is. Here are two examples from some third-party developers.
com_securelive.zip:Installs SECUREJOOMLA which is a third-party security component for Joomla!
mod_corephp_weather:Installs the quick and elegant local weather information for your users with the 'corePHP' ...