For the most part, something either comes with the system or you install it as a flatpak. Or as someone else mentioned, run in Distrobox.

Therre's actually a Bazzite help page on this: https://docs.bazzite.gg/Installing_and_Managing_Software/software-intro/

The very last resort is that you can install packages sort of as normal, by layering them in rpm-ostree, then rebooting to rebuild things. It's discouraged though, as if you manually install packages then it can break updates and upgrades take longer to run. Basically, installing packages manually is defeating the purpose of an immutable system (the purpose being basically to keep things super stable).