To install packages, usually you'll want to use the pacman package manager.
If your package isn't in the repositories, check AUR. Basic instructions on how to use it are here
If you have a PKGBUILD, the easiest way is to run makepkg, and then install the created packages using pacman -U. However, a more convenient way is to use a tool like Yaourt
which manages all these packages.
Last is a package that doesn't have a pkgbuild anywhere. These are to be installed manually (./configure && make && make install), which is usually documented somewhere amonst the other package documentation.