Tar.bz2 files are compressed files. Commonly, they need to be extracted ("unzipped" in Windows terms), them compiled.
This link explains the process.
It is usually not complicated. It just requires having the required underlying software and following the directions.
Again, as with your other post, please use descriptive thread titles. It helps persons who can help find your posts.
Also, welcome to Linux. Linux is not Windows. There will be a learning curve (just as there was with Windows).
Linux will not act like Windows, but, as someone who is reasonably good with both OS's, I have become convinced that Linux is more logical and, ultimately, easier.