First thing to learn:
In Linux YOU DONT JUST DOUBLE CLICK THINGS, THIS IS NOT WINDOWS.
Thats why there are so many viruses in Windows.
There are a few ways to install programs: Compiling from source, installing a package (RPM).
In the case of SETI, I believe its already compiled, just untar that tar.gz, change to the directory, and run the program.
tar -xvzf seti.tar.gz
You have to replace file/folder names with the appropriate ones though.
The first comand untars and uncompresses the file (a .tar is a bunch of files that have been converted into one big file, for storage purposes, and .gz is a compression technique, gzip.
The next one changes to the newly untarred directory.
The last command executes the program.