Once you download the source.. should end in something like tgz, extract the tar file
tar -xvzf packagename.tgz
Once it untarrs the stuff (think of Tar like a Zip file), change into the directory it created (cd directoryname)
Once you're there, you need to configure the data to be compiled, run ./configure (not all programs have this, if it doesn't it's no biggie, but try it anyway). If you are familiar with Linux you can edit the makefile to put in any wonderful options you might need(not always needed).
After you run ./configure, run make. Then, afer your code flies by (this is what compiles the software), run (as root) make install. This will actually install your program!
You then should have it all installed and ready to use.. keep in mind if you want to upgrade it, you're going to have to do it manually.Fedora won't be able to do it with YUM or Apt-get