Ok here's how:
In a console do the following:
tar -zxvf <filename>
This will untar the file and create a directory (usually the same name or very similar to the filename)
cd <directory just created>
./configure
make
make install (if you were not root for the previous steps su to root)
make clean
You're done!!
Good luck
Note: When you enter the new directory, read all readme, etc. files as they contain valuable information.