After you download it, open up a terminal, go to the directory you saved it to using the "cd" command. Then, type the following:
tar -xzvf file-name.tgz
You'll see a bunch of stuff scrolling by on your screen until it stops and you're back at your command prompt.
Now, you can type:
and you'll see your file you just downloaded, and you'll see the same file as a directory without the .tgz attached to the end. We need to go there.
Now you really should at this point, view any and all README, INSTALL, etc. files to make sure there's nothing else you need to do or get. If there's not, then type the following:
then when that's done:
then when that's done (will take longer than the first step):
Enjoy compiling from source.