Besides selecting an appropriate package for your operating system (Windows, Mac OS X, or Linux; 32 or 64 bit), you should take into account the following considerations.
Short answer: In most cases the full package is the best choice. Exceptions are:
Detailed answer: Some tools are embedded into UGENE as external. This means that such tool needs an external executable to be launched from the UGENE graphical interface. The standard package does not include such tools,
If you have administrative rights on Windows, use the installer package. It will make integration with your Windows system more tight. For example, it will add associations for bioinformatics formats supported by UGENE, so that corresponding files are opened in it by default.
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If you're an Ubuntu user, follows this guide to install UGENE on your system.