You put it everywhere you wish. But there are common locations: for applications installed by you the executables should go to /usr/local/bin. Now, the rule doesn't usually apply to big apps you want to have in one piece as Firefox or OpenOffice. They're also installed in /usr/local usually, but in directories like /usr/local/firefox or /usr/local/OpenOffice.
The thing with standard directories is that only those in PATH variable are searched for executables when only file name is given. PATH usually has /bin, /sbin (system files), /usr/bin, /usr/sbin (applications installed with system), /usr/X11/bin (X applications - some of them), /usr/local/bin.
When you install a program into one of the directories above you don't need to do anything - you can use its name as command.
If you have your app somewhere else you need to modify PATH. In fact, it's not always needed. For example if you don't want to run the app from command line and only use it from menu or as a shortcut, you can type the whole name once when creating the menu entry and forget about it.
But, if you want to change PATH, use the following command from the command line
It appends new dir to the end of PATH (they're searched in order).
This command will only work in the terminal you run it and will be lost after you close it or reboot. So, to make the change permanent, add the command to /etc/profiles (at the end of file).