Normally that'd be ./configure, not ./compile
But anyway, the right commands go like this:
tar zxvf software.tarball.tgz
cd to the folder
ls, and look for README or INSTALL files!
THEN do your
./configure (if appropriate), make, and make install. Some software uses configure, some require you to edit a conf file of some sort, some will even require other software.
Also, be sure to check out ./configure --help if there's a chance you want to change installation options.