There's basically four ways of installing programs in Linux, particularly Ubuntu.
Firstly, many programs are kept in the repositories; I think about 15 000 separate packages. These are accessible via three separate methods; Applications/ Add/Remove, the synaptic package manager in System/Administration/ (which has a more exhaustive list than in Apps/), or via the command line (open a terminal and type in man apt-get for more info).
Basically, the stuff in the repositories is screened, known to work in Ubuntu, and any programs that they rely on being installed to work get automatically downloaded as well.
The fourth option is building from source. This is done in a terminal; essentially programs that are undergoing current modification are not packaged because by the time it's done there's another improvement come through.
The key commands to get a package from the source code to a binary package installed in the right directory are always the same. First unzip it; double click on it and choose the extract option. Then change into the directory that has your package in it; usually it's on your desktop, so you do that by opening a terminal and typing in where xxxx is the directory with the program in it. Then type in
configure runs a configure script that essentially modifies the installation to suit your hardware; make runs the compiler that installs creates the binary packages (ie converts the program from a human readable document to a machine-readable document), and make install is what actually installs it on your machine.
Few extra bits. The ./ in front of configure is a quick and dirty way of saying the program is in the directory you're already in. If doesn't play, put it in front of that too. When typing in a directory name in the terminal, anytime after the first 3 letters, hitting TAB will autocomplete if the name is unique at that point. And (finally!) if you're cutting and pasting, Linux usually sets up the mouse so the middle button/wheel when clicked pastes any text that has just been highlighted.
Good luck, and post back if I've just confused you even more!