with linux you can install things usually two ways:
by downloading and installing a package (.rpm, .deb, etc)
by downloading the source code and compiling it
the truth is, installing apps in linux really isn't easy. it takes a while to get the hang of it. the trouble with downloading applications, is dependencies. You download your chat program, for example, but it requires that you install qt-dev or something before you can install your chat program. So, before installing the app, you need to go out and fetch all of the different "building blocks" out there that are required, and make sure your system has them.
There are some really cool package managers, which will go out and download the dependencies for you. This is by far the best way to go for a newbie. Package managers vary from distro to distro - I use apt-get and synaptic for redhat, and it works great. you'll have to find a package manager for your distro (i.e. fedora, gentoo, debian, etc).
if you tell us which distrubution of linux you are running, you'll be able to be helped more