It is as easy as in windoze and even more powerfull!
If you've downloaded the software in rpm-format (e.g. blabla.rpm) you just have to change to the directory with the prog and type "rpm -Uvh blabla.rpm". More information on this by typing "man rpm".
If your downloaded files are in ".tar" or ".tar.gz" format, you have to do the following steps:
1. untar the software "tar xvf blabla.tar" or "tar xvzf blabla.tar.gz".
2. Change into the new created directory "cd blabla".
3. type "./configure"
4. type "make"
5. type "make install".
But if you are completely new to Linux/Unix, i would recommend you to do some reading on the installation of "tarballs".
A good starting point is http://www.linuxdoc.org