The cd command is exactly the same, the cd\ compliment is cd /.
imagine DOS with forward slashes instead of backslashes and you're halfway there. Copy the LILO file to something like /usr/local/src. To do so you would type the following:
cp fullnameoffile /usr/local/src
Simple enough yeah? Ok then, when we know what type of file you d/l'd i.e. filname.tar.gz or whatever, we can unpack it and install...

I have a file named lilo-22.1.tar.gz. I'm going to unpack it. I remember when I unpacked it to the wrong directory the readme file said I need to run make, then run makefile, and run make install.

re-read the README and INSTALL files first before you make anything. There are other things that come first like ./configure.