I think your talking about installing tar.gz files. The make files in them don't always work and sometimes there is more that needs to be done in order to install a tar.gz. However, your right, sometimes all you have to do is run the make file. If this is for Ubuntu the following command can be cut and paste into the terminal to install everything that is needed for tar.gz files:
sudo apt-get install dh-make xutils xorg-dev cmake build-essential checkinstall
After this you can install one which only needs a make file ran by opening the terminal and changing the directory to the directory which has the make file. For instance, if there was a file on your desktop called Mario Brothers, you would cd into that directory by typing:
cd '/home/zach/Desktop/Mario Brothers'
However substituting your own user name for "zach." Then you would enter the following into the terminal to execute the make file:
For more in depth help on how to install tar.gz you can watch many videos on it here: http://www.youtube.com/watch?v=e1WpFBLTRD8