There is generally 3 ways of installing new programs:
1. The most "primitive" way is to install from source. This is what the first response you got was about. Search google 'linux installing from source', and you'll find guides. But honestly, don't bother. I've been using linux for more than 2 years and only installed from source 1-2 times (thanks Mandriva!
). There are easier ways in most distros, for most programs.
2. Installing with your distro's native package manager. Most distros are RPM based (redhat, fedora, mandriva,suse), or DEB based (debian, Libranet, knoppix, ubuntu). search for "RPM howto" for RPM or "apt-get howto" for DEB.
3. Using repositories. This is the easiest way. Most distros have large software repositories on ftp servers, and the distro has usually a graphical user interface that utilises the native package manager and resolves dependencies (ie, also installs other needed packages). Using these usually requires that you first set the sources, or give the distro information where your nearest/preferred repository is (they might have an ftp source already preconfigured, or they might use the installation cd:s as sources). For Fedora/redhat, the tool is called YUM, google "fedora yum howto", for Mandriva it's URPMI, for SUSE it's YAST/YOU. For debian based distros, APT-GET also uses repositories. But it is a command line tool, and there is also a graphical front end to it called Synaptic or (kynaptic in KDE).
Of course it's good to know all of these, but for 95% of programs you are likely to need, it's usually enough to use the repositories.