We don't even know what is happening when we run it, its like a blackbox that does what windows does, but it also can do other things like spy on you or ruin your hardware on command, anything that you can imagine is possible. Also windows way of installing programs isn't great, yes its just press next but do you know what is happening? if you are lucky nothing bad but if not then hello viruses extensions and other stuff, in linux it may be one step more complicated like you need to know the command to install a program but its always the same you just need to know name of the program, and it is from repository so everyone uses it and it installs only the program and its requirements, nothing more.