The program probably needed to compile a module or plugin in order to run. If there's program that is not available as a 'binary' file e.g.
.deb or
.rpm you might have to compile the program yourself. This is where you would use commandline. For compilation to work or succeed you need to have the packages required to compile a program already installed before starting. Once you have those, most of the time you would enter the folder with the source code in it and run:
./configure then
make and finally
make install.
Here's a brief overview of compiling:
Compiling From Source Code