When you download the binaries make sure you download the file that's specific to your pc.
i686-pc-linux-gnu works fine for me on an Athlon 1800+. The binaries are already set executable so in a console (or terminal window) cd to the directory where you extracted the archive to and run the cruncher using
Code:
[nafan@mybox setiathome-3.08]$ ./setiathome -nice 10 -graphics
if it's your first time running the program it will ask you to either create a new account or login to an existing one. After it logs in and downloads a work unit, you can watch it's progress by doubleclicking on the xsetiathome file from inside gnome/kde.
Hope that helps :-)