Most software comes with instructions on how to install it.
In general, if you have downloaded a source tarball, (.tar.gz or .tar.bz2) then you should first unpack it into a directory. Open a terminal, go to that directory with
and then run:
su -c 'make install'
(you will be prompted for your root password in the last step).
If you're software is an RPM file, you can install it with just
rpm --install file.rpm
More complete instructions can be found at http://www.tldp.org/HOWTO/Software-Building-HOWTO.html