If you have source code (usually in tar.gz file) copy it to a directory for sources (for example /usr/local/src), then unpack
tar zxvvf filename
ENter the directory it created and
./configure
make
make install
(In most cases you need to be root to do 'make install').
Then you can use your program as any other you have. Just
filename
(if its' directory is in your path, of course).
NOTE: This question has been asked so many times there...
installing software
