The process installation depends on what you're trying to install. If you are trying to install binary packages (ie files that end in .rpm, .deb, .tgz), your distribution should provide documentation. Check on their website. If you are compiling software from source, the installation method will depend on what the software is. You can install most software by typing:
su -c "make install"
However, it is always a good idea to read the README file included with the software in case the commands are different. Often the software includes a file called INSTALL which has installation instructions.