Well it is a little bit different than windows
but nothing that I am sure you can't handle. For starters, check the format of the download. Is it an archive, if yes, what kind? Some examples:
*when in the console, DO NOT type the quotes*
*a nice feature to have is the auto-complete in the console, so instead of typing out that whole filename (some can be huge) just type the first bit and then hit the TAB button and if the file exists and has no others like it, it will finish the name for you*
If yes, you need to extract this first.
For tar type at the console:
tar -xvf "name of file"
For gz type:
gunzip "name of file"
For bz2 type:
bunzip "name of file"
Sometimes a file will end in something along the lines of .tar.gz . Now with this you just want to start at the right-most file type (for this example, .gz) and extract that one first. Than move to the next one (.tar). Now there are some commands that can combine the two, but for now you should get the basics.
Now once you have the file unpacked and in a directory, cd into that directory. At the console type
cd "name of directory"
Now once in the directory you are gonig to want to look for a few things, so go ahead and type:
Mainly you are looking for something that says "configure" or a file ending in .sh . If there is a file that is .sh, then you are going to type
sh "name of file"
But for the most part, if you are extracting the file and working to install it from the directory, it is going to have to be configured. This is done by executing these commands:
./configure (watch the text fly by, and when that is done type the next command)
make (same, watch the text, and when it finishes type the next command)
After this is all done, there should be an executable file now created in the directory. So just go ahead and type ./"name of program" and you should be on your way.
For RPM files.
Now this is actually very easy to do. At the console simply type:
rpm -Uhv "name of rpm file"
and you are on your way.
There are other ways to install, other types, etc. This is just for you seeing as how you are just getting started. If there is a specific file type or specific question regarding a certain install, post and I or many others will gladly help you through it with ease.