I'm just wondering where I should install software?
Under Windows I can simply create a directory (if the software doesn't automatically create it's own) and install it there.) You typically install all your software under (in my case) a subdirectory called "Program Files".

I don't just want to arbitrarily install software in my linux system anywhere at all. What (sub)directory (or directories) in linux are by convention normally used to install programs.

This question is prompted by my having tried to install a progam that I downloaded (RealPlayer for Linux) only to have the system tell me that I didn't have permission to install in my chosen location.

Thanks!

usually in /usr/local or /opt/
check out this link for a wealth of information about the linux filesystem hierarchy and what folders are (supposed to be) used for what.