A quick reply:
There are several approaches.
In the Linux Community (please give information on your distribution - eg. RedHat Fedora Core 2, SuSe Linux 8 Pro, etc), software is usually made available either as a "Package" or as an "Archive". Package formats is different among distributions - RedHat has RPM, Debian has DEB etc... Archives are usually offered as "filename.tar.xxx", where ".tar" means "archive file" and .xxx is the compression format (eg. coolsoftware.tar.bz2, coolsoftware.tar.gz ...).
With "Packages" you will want to use your distribution's package manager (and/or package download tool). Under Debian, for example, you can use "apt-get" to download and automatically install additional debian packages. Almost every distribution has its own tools, so you should check your distributors website and finde out which tool to use.
With "Archives" there are two possible choices:
a) Your software is offered as a compiled binary. This means, unpack it somewhere, run it and it should work. As a beginner, prefer "static binaries" if possible, this can save you from resolving dependancies, though you might want to "switch" as you get more experienced.
b) Your software is offered as source-code only. In this case, you will have to compile it yourself. To do so, the normal approach is to run the following three commands from the source-directory:
As "your user" or "root":
./configure
make
then (as root!):
make install
After that, try running your program.
As I told you, this is just a quick reply. I am sorry, if I did not help you.
Cheers
Sebastian | 
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