Things on Linux are a bit different from Windows!
Open a terminal, and do the following:
(type): su - it will be asked the root password, type this password, you will be as superuser, and the prompt will be changed to a # sign.
(type): rpm -i package_file.rpm [enter]
This will install the package in your system. Could happen some issues related with dependencies a true nightmare for newbies (like I). If you have this kind of problems, ask in the forum and someone will help you. Or try to install Mandrake it is a good distribution related to this problem because there is a tool (urpmi - Mandrake exclusive) to solve this dependencies issues.
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