One question which will trouble many newcomers to Linux is how to install extra software. With most mainstream distros the answer is quite simple: the distro will have its own online repositories of software, and a package manager to handle all the installing and removing, and to resolve any issues of dependency on other software packages. You need an active internet connection for this of course.
In many distros (and PCLinuxOS is one of them) the package manager is called Synaptic. It will be on the main menu, and when you run it you will be asked to enter the root password, because this is an administrative task. You should then click the Reload button to refresh your local index of software. Using the buttons at the bottom left you can see different views of the available software, and you can use the search facility to find any particular item which you want.
Let's take an example: one of my favourite computer games is Sokoban. Use the search button to look for 'sokoban' and it will list any packages which have 'sokoban' in their name or description. You may find that there is a package called ksokoban, or it may be included in a bigger package called 'kdegames' or something like that. Select the item, mark it for installation, then click 'Apply', and it will be installed together with any necessary supporting packages.
That's it, all very simple. See the Help menu item in Synaptic for more details.