DOS and Windows use a very simple way of handling the directories. If you install a program, all data goes to a single directory. The program don't has to worry about were to place the files, it can handle that as it likes to do.
Under Linux the thing looks a bit different, the complete file system is only one big tree, there is no separation into different drives and the data of a program is spread over this filesystem tree. There is a standard document, the Filesystem Hierarchy Standard, which describes where the files belong, most games which I know do not follow this standard or following only some of its rules.
For standard software
documentation goes to
/usr/doc/, binaries go to
/usr/bin/, data files to
so on. This has different reasons,
one of them is that you should be able to mount
share/ directory remote over a network, since it
should only contain system independent files, while
bin/ for example contains system depended binaries
which can't be shared over different machine types. For games
there are some special directories reserved, they differ a bit
from the standard directories, but not much. A lot of games at
the moment don't use that directories, this document should
give a introduction on how to handle all that directories and
how to avoid trouble.