Installation on Linux is very different than installation on Windows. If you're trying to install a tarball, chances are you have some source code on your hands. This means you need to compile. Generally, this means you untar the thing, go inside the directory, and type:
And, as root:
There's a lot of documentation on this stuff, but...in short...
configure tries to guess certain things about your system that will be used in the install (locations of libraries, etc), and it also lets you specify some compile options. The README or INSTALL files usually contain info on what to tell configure. Typing
will also give you useful stuff. make actually compiles the program, and make install puts all the binaries/man pages/etc in the appropriate places. Good luck.