Jeez you’ve been on Linux for 2 or 3 days and your still not a guru… go figure. 
Firstly Mint is based on Ubuntu, which in turn is based on Debian.
Mint uses the the GNOME 2.xx desktop which is built on GIMP toolkit version 2 (gtk2)
aMSN probably was 2MB, its dependencies on the other hand…
but bear in mind, most of the dependencies will be libraries which will be re-used by other programs you install in the future, so won’t need to be installed again… windows does the same thing with .dll’s but in windows, you will download the libraries again the next time you download an app that contains them in the binary executable installer, and again, and again, and again…
Try re-installing aMSN… this time it wont have to get the dependencies as they are already on your system and your package manager knows this, so the download WILL only be 2MB… now try downloading Windows Messenger twice.
So which system is more efficient?
8 mins for aMSN is very slow though… sommat wrong there… I just installed it in seconds.
You NEED to stop downloading files from the internet for installation (that’s a BAD windows habit)… your first stop for installing software should ALWAYS be your package managers, ie. Synaptic, or the Mint Software Centre (or whatever they call it in Mint)… these will offer you LOADS of software packages in a single searchable application, and download/install it for you.
Kmess is available in your package manager (synaptic) or the Mint Software Centre
If (and ONLY if) the software you require isn’t available in the package manager(s)… your second choice is to search the web and see if there is an Ubuntu or Debain version to download as a .deb file… .deb files are Debian packages, and most will be compatible with Mint… it is based on Debian after all.
(.deb files can be installed similarly to Windows .exe files… just double-click)
(also ALL Ubuntu software will be compatible with Mint… Mint even uses the Ubuntu repositories)
Be aware that Mint 10 is based on Ubuntu 10.10 if you are offered software for a specific Ubuntu version.
Then there is the option to add software repositories such as PPA’s to your package managers, which effectively expands the range of available software that Synaptic can install for you.
and lastly, and I mean LASTLY, you can download the source code, and compile the software yourself… be aware dependencies will NOT be resolved for you when you compile from source.
As for themes… gtk2 and see the ReadMe file… there are a lot of windows managers for Linux, and a lot of desktops, so you need to get the right ones.
By default Mint uses GNOME desktop (gtk 2), and the Metacity windows manager.
Once you understand how the Linux software repository/package manager system works… I expect you to take that comment about the Winblows install system being “better” back. 
Installation can easily be achieved without the command line, but sites tend to give commands, because it’s easier… here goes
to install aMSN…
Open your package manager (Synaptic) Menu>Administration>Synaptic Package Manager
When synaptic open, type amsn in the Quicksearch box.
amsn should now be listed below
click the little box on the amsn line, and select Mark for Installation… click “Mark” again if you are shown a list of dependencies that will also need to be installed.
Click the “Apply” button on the main Synaptic toolbar, click Apply again when shown what is going to be installed.
aMSN will be downloaded and installed for you… on top of that, ALL software installed through your package manager will be updated automatically whenever a newer version is added to the Mint repositories… and is guaranteed to be free of malicious code.
Now tell me the Windows way of searching the web and downloading executable installers where you have no idea of their contents, and are a nightmare to keep up to date and all install their own system tray applets, is a better system.
there are 1000’s of packages available in the Ubuntu/Mint repositories… all virus free, and installable from one place… your package manager.
(at present I have 32,382 packages listed in my package manager)
There’s a reason Windows is full of viruses.
BTW, another way to install amsn would be to open a terminal and enter:
sudo apt-get install amsn
Kinda easier to type than that Synaptic tutorial eh… now you understand why you see the command line used so much in Linux forums… Windows forums would too if the Windows command line actualy did anything useful.
Can I also give you a friendly tip… Implying on a Linux forum that you “might just go back to Windows” is unlikely to get any other response than “OK, Bye”… Here’s a statement I read somewhere once, “Linux doesn’t need you, you need Linux” 
(after all nobody made any money out of you)… and though statements like that aren’t necessarily very helpful, you can’t really argue with the logic (myself included)