what he said ^^.
since you're extremely new, i'll outline one way to do it here for you. but try to get in the habit of searching LQ or google for answers to the easy or "howto" questions, it'll make your life a lot easier in the long run.
1. cd <enter>
2. tar -xvjf ~/Desktop/package.tar.bz2
3. cd package
4. ./configure
5. make
6. # make install
7. rm ~/Desktop/package.tar.bz2
i usually keep the unpacked directory around in case i want to uninstall the software later. you can usually do a make uninstall to remove it.
fwiw, i never liked downloading stuff to the desktop. too much of a "windows thing." better imho to make a directory in your home directory for downloads.
gl