How to use the new installed software?
 

For example, when I install the bit torrent client Azureus it doesn't show up in the Internet Applications. There's no a command like "azureus" to launch it from the terminal. When I searched for it I found 2 folders full of unknown files for me. I couldn't start one. I guess you all can help me :)
10x!

It helps to know which Linus distro you are using. If it is Fedora, for example, you probably installed an RPM, in which case you could run rpm -ql Azureus which will tell you which files were installed.

You could also try the man pages (manual): man Azureus

I'm using Suse 10.2.
Is it the same?

Well, the man pages should exist with Suse, so try:

man Azureus

or

man azureus

Azereus is a java program. You might want to look for its home page for instructions. Most packages will contain some documentation in /usr/share/doc/packages/<package-name>/ for SuSE or /usr/share/doc/<package-name>-<version>/ for Fedora.

To show the documents that a package supplies you could try "rpm -qd"
For example for the gimp program:
There isn't an Azereus package in the openSuSE 10.2 distribution. Did you download a package from the packman repository? The problem with not showing up on the menu could be that you downloaded a package for another distro.