You need to be a bit more specific. First, it would be really useful to tell us what distro you're using (RedHat, Mandrake, etc). It's actually good to enter this in the user cp.
Anyway, under most distros, you either install something with a precompiled package (this is what you do in Windows), or you compile it yourself (this is one of the advantages of Linux). It depends on the package and what you feel like.
For instant messaging, I use gaim. It seems to be the best for AIM, and it works for a variety of protocols, much like Trillian. You can grab it at http://gaim.sf.net/
Good luck with your new Linux box.