well, there are a number of different ways to install something in linux. some of it depends on what distro you're using. Red Hat has an installation package they use, whose files end in .rpm - these can be installed using just rpm -i <packagename.rpm> (this tool is available with most distros, not just red hat)
on the other hand, you can also download source packages and compile them and install them yourself. these are generally labelled .tar.gz or .tar.bz2 they have been zipped (.gz) and archived (.tar) and must be uncompressed before anything else. this is done with
tar -xzvf <packagename.tar.gz> or tar -xjvf <packagename.tar.bz2>
then cd <packagename> and less INSTALL will let you read the installation instructions, which should include any specific instructions for this software package. once you're comfortable with this, the following three commands should install any source package:
this is a brief overview of the topic. here's a link with more information: http://www.linuxgazette.com/issue49/lamb.html
then just go out and try it! it's a lot easier than it sounds.