I can't tell you how to do it from Nautilus, only from the command line:
Open a terminal (xterm,aterm,kterm whatever)
Change directory (cd) into the proftpd folder you untar'd.
Run configure (example) below.
#> cd /where/it/is/proftpd*
#> ./configure --prefix=/where/you/want/proftpd
#> make install
That should do it for you. Not all source files you download will compile with these extact steps like that, but a lot of them will. Always make sure to read the provided INSTALL or README files.