Well, there are three methods:
1) Use RPMDrake, Mandrake's RPM manager to install RPM packaged programs.
2) Some programs require you to compile them for your system (you'll see tarballs in the tar.gz format, for instance). You use the make install commands for that (see the documentation that comes with those programs).
3) Some programs contain their own installer which runs as a script or a combination of a script and Loki's graphical installer. Examples of this include Quake 3 Arena, Return to Castle Wolfenstein, Unreal Tournament 2003/2004, Doom 3, etc.
Then there's the fourth way:
If you are attempting to run Windoze programs, then you want to use wine, Crossover Office (wine on steroids), wineX, or Transgaming's Cedega (basically wineX on steroids). For those, you install them by using the command to run the Windoze executable, and the program installs into a fake Windows disk located in your user account.