if you are logged in as root, i would suggest not doing so. generally speaking, logging in as root is a bad idea. root is allowed to do anything it wants to, so you can really screw up your machine if you're not careful.
as for installing crossover, there are a few ways to do it. probably the easiest point-and-click way would be to find the installation file (either the rpm or tar.gz, depending on what you downloaded) in the super user mode of file manager. in madrake 9.1, kde, this is located in the menu under applications>file tools. then do the install as normal.
the other way would be to do it from the command line. open up the console, and type "su" to switch to root. it will prompt you for your password. after you type it in, run the command to install the program.
hope this helps. if not, you could always post more information about what distro you're running, etc, and someone (probably not me--i'm pretty new myself) could give you more detailed info.