First identify the file type. This can be done by noting the file extension or by using the file command
Then, armed with that information your should be able to search, for example using google, fo what you should do with that file.
If it is an archive of some sort: eg tar.gz, after unpacking it look for a file called README and/or INSTALL and then follow the instructions therein.
In general, if you want to install a piece of software you should first try to use your package manager. Only if it does not exist there, should you resort to other methods.