Well, a small comment in the shoutbox caused several guys to download Ubuntu. Good choice, I like it! Here's a walkthrough to programming a PICAXE in it.
STEP 1) Download the Linux Axepad here- http://www.rev-ed.co.uk/software/linaxepad_100.tar.gz
STEP 2) Extract the files to a folder on your desktop called "LinAXEPad" or whatever you want to call it.