Ubuntu will not install a .exe without the use of Wine. I wouldn't go this route though. What is the model of the Belkin USB Wifi? You will need to install the drivers specifically for Linux(deb)

I was about to suggest this when I read Hypernova's message, but I see RaymondFO beat me to it.

Hypernova, be sure to run the Ubuntu Update-Manager (also under System>Administration) before you do the above instructions. Not only does that make sure your system is up-to-date with anything that has been added/fixed in Ubuntu, but it seems to make a newly-installed Ubuntu operating system really look at the hardware and recognize proprietary drivers it needs.

Thank's to all for your help.

codes, maybe you are right. Better first to have a hardwired connection and then move to wifi.

Let's see what I will find in this box

Thank you all for your support.
I fought a whole afternoon and gave up. I got driver conflicts even with my basic video card from Nvidia GT220. For an uknown reason Ubuntu decided that it's own driver had "incompatibilities", it switched the display screen in a "low resolution mode" which made the main display screen enlarged so that to see the whole sreen say top and bottom bar I had to scroll. The error and incompatibility messages are not understandable for me in this completely new world.

When I did put a direct ethernet cable I got the connection and could go over the internet with firefox. That worked. But I need a wireless where this machine will stay. Regarding the Belkin I could find drivers for some of the chipsets that are in the USB Key and not for others. Mine is a very new model dual band for which I found nothing. When I checked for the hardware and drivers the System Administrator said no problem and did have an issue with the Nvidia graphic card, and then installed a driver that went weird. Regarding the USB wifi key no way it is not seen.
I tried manually to acces the USB key and I had some success with the Network manager but I ended up with a lot of network data to be put in manually and for which I have no idea. And my home installation is not simple: three routers and two wireless networks.

To conclude I decided to switch to W7 and shortly everything was fine and Pandora is online crunching happily.

Now what lesson to take from this interesting experience. If my unit was just hardwired then probably things would have worked as I would just have to download BOINC and launch it and that's all. Could be that it is not as simple.

I will not make any judgment on Ubuntu and Linux, but for a full newcomer it means that you must really go deep into the stuff and probably spend a lot of time until you really understand what is going on and have things work happily. There is no free lunch. W7 is expensive but you get something for it.
Linux is probably ideal if you just use the office package and browse the internet on a hardwired connection. For many people it is enough and you get all that for free. The problem is when you have an issue what to do next. I was a highly computer literate even if I stopped practicing professionally 16 years ago, and I have difficulties, but imagine the problems for those who are not. For companies with servers or datacenters they have paid professionals to deal with, and it makes sense to use Linux because you multiply it on hundreds of units and you can have huge economies of scale.

Unfortunately I do not have a lot of time to devote to become a Linux literate and I decide to choose the most comfortable solution: pay and go back into the world I know. Sorry for that, but what is important is to crunch. And these days temps are going down and I want to make the maximum of it. If it goes well I should hit >500'000 points by tomorrow.

FoxTester: Easy Way To Try Or Install Any Firefox Version In Ubuntu (Including Firefox 4)--- http://www.webupd8.org/2010/09/foxtester-easy-way-to-try-or-install.html