Can you say what the file is? It's possible that it's not in Synaptic
right now, but it may be in Synaptic later if you enable the right repositories.
If it's a .deb that you've downloaded to your desktop, go to Applications > Accessories > Terminal (in Gnome) or KMenu > System > Konsole (in KDE) and type
Code:
cd Desktop
sudo dpkg -i *.deb