Welcome to LQ!
What type of file did you download? If you have to compile, it is most likely a *.tar.gz (otherwise known as a tarball). The first thing you need to do is uncompress it, extracting the files out of it (kinda like a *.zip file)
at a console:
tar -zxvf file.tar.gz
You'll then most likely have a new folder named for the file that contains all the other files that were in the tarball.
cd to that folder.
Take a look at the contents. If there is a README or an INSTALL file, read those to see if you need to do anything special. A lot of the time you don't
need to. If you see a file called
configure, then that's what you run next.
at the console:
./configure
The
./ designates the current directory.
You'll see a bunch of information scroll by as it configures the binaries to your system. If there are any errors, it will tell you.
Next step:
make
This builds the program. You will see a lot more stuff scroll by, most of which you won't understand. This can take a while depending on the program and you system speed. Again, if there are any major errors, it will probably tell you.
After that is done, you'll want to run (as root)
make install
which will install the program to the proper path so that when you want to run it you just type in the name.
Keep in mind, this is not
always the way these are installed. Some apps come pre-compiled so you just run them, others you don't need the "./configure" part. Always look for a

README

or other instructions, as they will tell you what you need to do.
Linux is very differnet from Windows, and I'll admit that this sort of thing does not make it easy to switch over, it just takes doing it a few times to get comfortable.
