Presumably you're meaning XCDRoast ? What did you download -- source code (probably with a filename ending in tar.gz) or a pre-compiled binary (filename ending in .deb or .rpm) ?
If you have the source code, you'll need to extract it and then compile it (tar -xvvzf <filename.tar.gz>, then read the README and INSTALL files). If you have a binary, then at a rough guess you'll want the RPM version (which distro are you using ?), and you can then just type <rpm -i filename.rpm> at a shell, or place it in your rpm's directory and install it via whichever GUI package manager your distribution uses.
Also, assuming you are indeed talking about XCDRoast, have a read of http://www.xcdroast.org/xcdr098/rpms-a15.html
Good luck !