Ok, so onto your problem kind sir.
This depend on what kind of software it is, and how it's packaged. You might wanna try clickin on one of the helpful links in my sig, or checking out the tutorial on www.linux.org
As for a "quick" answer for ya:
For RPM files (these are all in terminal, as root user):
rpm -ivh /path/to/file/filename.rpm
For tar.gz files:
tar xvzf /path/to/file/filename.tar.gz
Then enter the new directory:
And run the configure script if there is one, or read the README and INSTALL files:
vi README or
Anyway, after ./configure run:
This will usually get things rolling. The thing is though, you need the "development" packages installed. Go ahead and get them installed if you didn't already.