When you post a question here you should include the name of the Linux distribution and version that you are using. That would be particularly helpful in this case for the following reasons.
Different open source projects do things in different ways. Also, different Linux distributions do things in different ways.
Your best bet is to see if the software that you want to install is already included in your distribution's package list. That will allow you to use your distribution's package manager to install the software.
If the application is not in your distribution's package manager repository then the web site that hosts the application may have several different installation files. Each file is for a different Linux distribution. You would download the software and then use your distribution's package manager to install the application from the downloaded installation file.
If the application doesn't have an installation file specifically for your distribution then they will probably have a generic archive file. This may contain the binaries that can simply be extracted and run as is. In the worst case the installation file just contains the source code which is geared toward a generic Linux system. This is often the most difficult type of installation.
I just checked the filezilla web site. There is a link to download Filezilla client for all versions and platforms, then there is a link to download the Filezilla server for Windows.
When I clicked on the link to download Filezilla client a page was loaded that showed different download kits. The one that you listed in your post has a description. It says that it is geared to be installed on Debian Lenny. That suggests to me that the installation file contains binaries that are arranged to work on a Debian Lenny system.
Do you have Debian?
I would ask that you open your Linux application manager and see if Filezilla client is already available. If it is available then I strongly urge you to use that method to install the version of Filezilla that is available in your distribution's package manager repository.
Write back to let us know what course of action you have taken and if you need further assistance.