WIN XP PC
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I may download a file/software (for Linux) from any OS , but install it while running on Linux, and that this file may be in any windows(hdd) directory mixed with windows software applications(folders) ? That is correct / This is uncorrect

When I boot from a Linux OS cdrom, and I want to install Safari for Linux, the installation files will go/install on HDD together with other files(xp), so after I use Linux to find the file and run it (from HDD) ?

You can download software on any OS but they can only be used on the specific OS.

If the format of the hard drive is NTFS, you can't really run the program using Linux.