Hopefully, you have untarred and unzipped the tarball... if not, for:
xchat.yada-1.0.tar.gz ----> tar xvzf xchat.yada-1.0.tar.gz
xchat.yada-1.0.tar.bz2 ----> tar jxvf xchat.yada-1.0.tar.bz2
this will set up a directory with the package's name: xchat.yada-1.0
read README or INSTALL with less or more
usually you're going to get this:
Now with some packages, like Phoenix, you're going to get an install shell script called (usually): install.sh or install-sh
You'll run: ./install.sh and then the package will be installed from there. This means it is a precompiled binary. Whenever possible, it's best to compile from source on your own box.