In the first place, I'd strongly recommend trying to stick to SW available via the pkg mgr you've got until you get more used to Linux. That should be able to provide the sw (or equiv) of almost anything you want. The repositories are extensive.
If you really want to go this route, here are some guidelines.
(you may need to be root to do some of this)
1. Open an xterm (cmd line) and create a dir to put the sw into. I usually create one (named after the sw I'm going to install) under the /opt dir.
2. download the sw into the dir
3. cd to the dir
4. If its eg x.tar.gz or x.tgz file, that's a tarred+gzipped file, so to unzip/unroll it
tar -zxvf <filename>
if its x.tar.bz2 or x.tbz2, thats tar+bzip2, use 'j' instead of 'z'
tar -jxvf <filename>
If you are not sure, you can use the 'file' cmd to check what you've got thus:
5. Often that will create a new subdir under the current dir. In either case, look for a README or help file or something like that eg anything.txt
That will tell you what to do next.
Generally you'll need to be in the dir where the src code is to do the configure/make instructions.