Welcome to lq
as a general rule it is good to include your distro in your profile so people can better help you.
Linux does not work like windows. It will take some learning.
Here are three links. The first link is the generic installation of flash player and should work on most every distro. However it is not necessarily the easiest way.
As ace of spades stated, it is easiest to use a package manager. Many distros have a package manager.
Try this link for ubuntu /debian
Finally, though I never used Gentoo, here is an additional tutorial.
hope this helps.