Well, a better title for this post would be a good start...
Firstly, what are you trying to achieve: is an installable file, that you want eventually to execute, is it a .pdf, an Open Office document file, a Microsoft Word .doc file?
If it is something that you want to install, it seems that you are ruling out doing this the easy way. That is, the package manager is the easy and intended way of getting new programs on to your system. Is there a reason that you can't use that, in this case?
Oh, and are you using a distribution? Knowing which distro and which version may make it easier to answer the question.