Yes, installing software is a known issue, I personally am working on this in fact
For now however you'll just have to put up with the sucky system we currently use. If the software you downloaded has a mandrake 9 RPM then download and install that (you can probably just click on it). If it doesn't (and it probably won't) then you need the .tar.gz file, and then you have to compile it from the source. There are lots of posts in this forum explaining how to do this, so search for it and if you get stuck reply to this thread and we'll try and sort you out.