Well it all depends on the program. Most are in tar.gz format in which you need to unpack with this command:
# tar -xzvf /filename
This will unpack the program and usually create a directory under the name of the tar.gz file.
From there, if you then cd into the new directory, there are usually INSTALL or README files to follow the rest of the instructions of installing that program usually doing a 'make' 'make install' etc..............
.bin files usually you can run them from the command line to start the install.
RPM is like tar.gz, for complete info on either you can look at their man pages associated with them.