you downloaded the source code... you need to unpack and compile it
to unpact a tar file:
tar xvfz unixODBC-2.2.6.tar.gz
this will create a dir named unixODBC-2.2.6
cd into it and read INSTALL file
I normaly put my source code to compile in:
/usr/src/redhat/SOURCES
(of course this is for redhat distrib.)