xnap is a Java program - try:
java -jar <directory>/xnap.jar
where <directory> is wherever you put the file.
For most other Linux packages, if you're using an RPM-based system, the following as root will install a package called foo.rpm:
rpm -i foo.rpm
(On Mandrake, try "urpmi foo" first.)
On a Debian-based system, try "apt-get foo" if you want to get the package from an archive, or "dpkg -i foo.deb" if you downloaded the package.