Download this file at work and put it on your thumb drive, http://www.xmms.org/files/1.2.x/xmms-1.2.10.tar.bz2
. When you get home move it from your thumb drive to your hard disk; your home directory is fine. Unpack the tarball and move into the top of the source tree
tar xjf xmms-1.2.10.tar.bz2 && cd xmms-1.2.10
Configure and compile
./configure --prefix=/usr && make
To install in /usr, you need to be the privileged user (root). Since you haven't told us what distribution you are using, I don't know whether su or sudo is appropriate.
su -c 'make install'
or if your distro uses sudo