A little more info would be helpful, but I'm going to make two assumptions.
1. You are using Ubuntu or one of its variations.
2. You are trying to install the flash player from a web browser.
You need to use the package management tools to do this. In the case of Ubuntu, you're probably using Synaptic, and it probably doesn't have the necessary repositories enabled. But the nice thing about Ubuntu is how newbie-friendly their documentation is. Check out their help page
. To install flash, you must have (at a minimum) "main" and "multiverse" enabled. Personally, I recommend enabling them all (main restricted universe multiverse). Good luck, have fun, and remember to read/search.