for installing tar files (tar.gz; tar.bz2) you can either double click to open them in file-roller (gnome) or ark (kde) or if you really want to, you can open them in the terminal, by typing:
tar xzf (filename.tar.gz)
or
tar xjf (filename.tar.bz2)
depending on what you are extracting, and it will extract these to a new folder in the top directory which is usually your /home/(name) directory, if you downloaded the stuff
then you open a console, regardless of what you did to unpack the files, and usually type in
./configure
and when it is done, if everything is ok (ie: no error messages) type
make
and if that has no errors type
su
unless you are already root, type in the root password (if applicable, dotn wory if there are no stars, that is normal)
and type in
make install
and if there are no errors, then its installed
and then to run it, press alt-f2 and you will get a run box, and usually you can open the program by typing in its name ie: for GAim, type in gaim and hit enter. and viola, its open!
and when in doubt, check the folder /usr/bin for any new programs, chances are the newest one (most recently modified) will be what you just installed
hope its clear enough