Linux is inherently a piece-it-yourself kit.
Windows - you buy a flat with all comforts and a city around, but you can only move furniture around, and knocking down a wall to make room for a dinner hall could bring down the building.
Linux - you get a square of land for free, and can build anything on it with stuff from nearby scrap yard. Or spend some money and get pre-made designs with support. Or order an unpacking house to be put there. Etc.
Comfort must be achieved by customization.
Linux is a professional operating system, the values in it are different.
You don't put comforts in a military jeep.
Now, what makes you confused?
If Linux is a military Jeep, then Ubuntu must be a civilian hummer.
To describe what exactly it is that is bothering (confusing) me;
The file system, file extensions, where is the "My Computer" folder.
As far as the file system, its organization is a bit of a pet peeve of mine (as it was designed more for multiuser systems than for the modern desktop), but the basic layout is fairly easy to understand:
/bin and /sbin contain system binaries, broadly like "C:\Windows" on windows, except that it only contains executables.
/etc contains system settings and databases, again, broadly like "C:Windows", except that it only contains settings files.
/dev contains direct access to system devices. Windows doesn't do this. Unless you're a geek, you can (and probably should) ignore it.
/home contains users' home directories, which are equivalent to "My Documents".
/mnt and /media contain removable media like CD drives and USB sticks (when they're there). (Actually, as I understand, /mnt is being replaced by media for most things).
/lib contains system libraries (like .dll's on windows), and is, again, broadly equivalent to C:\Windows, except it only has libraries in it.
/root is the root user's home directory. Since you generally won't be logged in as root, you can usually ignore it.
/tmp contains temporary files, like C:\Windows\Temp on Windows.
/usr and /usr/local are broadly equivalent to "Program Files" (with /usr/bin being like the executables in program files, /usr/lib being like the dlls, etc), except that I don't tend to run stuff directly from /usr on Linux *nearly* as much as I run stuff from Program Files on Windows.
/var contains various and sundry files that may change often, but once again, unless you're a geek, you can probably ignore it.
As for file extensions, you have those on Windows too, but Windows hides them by default. Most file types are the same: *.txt is for plain text files, *.bmp, *.jpg, etc, are for image files, and so forth. The biggest difference is that executables on Linux have no extension, whereas executables on Windows have the extension *.exe.
For Ubuntu, the "Places" menu is approximately equivalent to "My Computer". The "System" menu is approximately equivalent to "Control Panel". The "Applications" menu is approximately equivalent to "Start > Programs". Your home folder is basically "My Documents".