I connect to the Internet all the time from Ubuntu. You shouldn't need a program just to connect to the Internet. If you have a network card or wireless card, you just connect through them. No program necessary.
If you want to use Windows programs, then you can use Wine to install them. You can also install Virtualbox, then install Windows, then run your Windows inside Ubuntu. I do this for Photoshop and Illustrator when I need them.
Linux is just like Windows or Mac. You wouldn't expect to be able to run Mac programs on Windows, or Windows programs on Mac. Linux actually is better because of Wine, so you can install the Windows programs. In the Ubuntu Software Center, just search for Wine and install it. After it is installed, when you want to install a program, just find it's setup.exe file and right click on it. You then see an option such as "Run in Wine" or something like that.
