"So if you download a file off a website – even a special Linux program – you can't run it by double-clicking it, nor even from the command line." That's misleading. You can do both of those things with certain downloads. Firefox, some games, shell scripts...
For windows that are too big, hold alt, click on the window and drag upwards to reveal the lower part of it. Alternatively press alt+F7 and drag up (the same as on Windows).
If we're talking milk, the prospect of twelve-months-old Internet Explorer 8 doesn't really appeal to me either. Even the latest preview of version 9 is over a week old. I guess it could be UHT.