This is the actually the thing same as Windows - in Linux you've got the which command, and it's equivalent is where in Windows. Both do the same thing - find out where a program lives.

OP meant a "program" in this context. Both Linux and Windows have specific paths where programs typically lives. For example, in Windows, if you type "notepad" in a command prompt or the 'Run' dialog, it'll search for it in known system paths such as C:\Windows, C:\Windows\system32 etc. These paths are declared in the PATH environment variable - which you may have encountered when certain applications try to (or ask you to) add their program folder to the PATH, such as say Java or Python. If a program is added to the PATH, typing 'java' or 'python' from anywhere will automatically launch it, so you don't need to specify the full path or the program.

Now whilst this is convenient, sometimes it can cause unwanted issues. For example, say you installed some other program that uses a specific version of Java or Python, and it installed that version in your system, and added that folder to the PATH - now when you type java or python in a command prompt, you wouldn't know which version you're executing. This is what OP meant by a program living in multiple places. As you can imagine, this can now cause issues, and can even break some scripts expecting a particular version of Java/Python etc and some other version is being picked up. This is where the where command in Windows comes in handy, as it tells you where exactly that program is located. And it's Linux equivalent is which.

So at least in this department, the behavior of Windows and Linux is virtually identical. :)