Fedora uses something called .rpms to install software.
When you use the package-manager like that, your software is installed autmmatically.
If you downloaded a package online, it probably saved to your downloads folder.
Open that and double-click on the .rpm file to install the software.
The other method is compiling from source, which is a bit different. This requires you to extract the package, and then use the command line to 'cd' into the newly extracted folder. After that, you type /.configure && make, then, after that, you become super user (su -) and type in make install. Then your software is installed.
You will always want to find an .rpm first before compiling from source as they handle depedencies (software required for other software to run) and is easier to manage and uninstall.
Also try the Linux newbie guide link in my signature.
Welcome to LQ, and check out onebuck's links