First of, you should start by looking the documentation at debian's page
or debian's wiki
about APT and how use it to install packages or the man page of APT.
While it's true that from sourceforge you can get access a ton of open source projects, debian has a pretty good source through its repositories, that's why I tell you that you should read about apt
Debian has several front-ends to apt so make installing packages a breeze, examples of that are Synaptic, apt-get, wajig, aptitude, dselect...
From the command line, in debian normally is a matter of apt-get install package
where 'package' will be what you're trying or wanna install. But surely the debian users of LQ can give you more in-depth about the subject.
About the package you downloaded, well, you don't give much information, I mean, it is a "Debian package" ? (like package.deb) it is a tarball? (like package.tar.gz, package.tar.bz2....)
If it is a debian package, then, should be something like dpkg -i package.deb
but, it's better to install using the repositories, however, see man page of dpkg to know more