tar.bz or tar.gz simply indicates a compressed archive, similar to rar or zip. It is a common way to distribute source code.
You should almost always default to installing package via your
package manager. All the major distros have pretty extensive repositories of software packaged (presumably corrected) by the distro developers. phpmyadmin is pretty common and should be available in your distro.
To install from source, first you need the proper build tools, gcc, g++, and make among others. The exact requirements can differ depending on the software. As you seem to have found, one of the more common methods for building software involves the trio of
Code:
./configure
make
make install
But this is by no means universal. The first of the three calls a configure script. There are two possibilities for your not found message. 1. There is no configure script and this software is not meant to be built this way. 2. You're not in the correct directory. When you extract the compressed archive, it should create a directory containing the extracted files. You need to enter that directory before running the configure script. (The ./ indicates the shell should look in the current directory for a file called "configure".)
Change directories with the cd command
or as seems like based on the file name you gave
Code:
cd ~/phpMyAdmin-3.3.8.1-all-languages
The ~ is a shortcut for the current user's home directory.