Many programs come as RPMs on the installation CDs/DVD. They are in the directory /Fedora/RPMS/ on every disk. Use this command to install them:
rpm -Uvh some-package-1.0-1.i386.rpm. You can get updated packages from the
Fedora website (or its mirrors) and more software from various other repositories. You'll run into dependency errors when installing RPMs. You'll have to install all the packages that a particular package depends on. To avoid this, use
yum which is installed by default.
And, as darkleaf suggested, you can use the graphical package management tool (in KDE: System Settings / Add/Remove Application) although it is buggy and somewhat limited.
If you want to compile programs yourself, pay attention to the requirements listed on the program's webpage and documentation. UNIX is modular; each piece of software usually needs other programs and libraries to work.
To get help on the command line, read the manpages, e.g.
man yum. There are plenty of Linux newbie guides on the Web, you don't need a > 1000 page bible -
Google is usually enough. Don't forget to search this site! Thousands of people have run into the same problems as you and many of them have even got help. Many times using the error message as the search phrase gives the most relevant results.
Regards
Simon