Ok this may sound stupid, but is Nessus in your working directory.... Is it in your home folder or download folder.... if its download folder do as follows
that should get you into ur download folder, then try to run nessus
sudo dpkg -i Nessus-4.4.0-ubuntu1010_i386.deb
before the rest of the folder locations make sure you use the command "cd" without quotes.
also before you run an execution command which requires you to be a root user use the command "sudo" then type wat you want.... This in my opinion seems to be your problem... the two commands i have typed there as they are usually (always) needed when installing from the command line.
reply if that was confusing or didnt work.... Im dyslexic and its hard for me to explain things... usually i just jump at the computer and kick the other person off...
to move to the parent directory/folder type "cd .." yes it has to have the space
this shouldnt be a problem in Ubuntu 11.10, just open the .deb with software center.... i keep forgetting what my lecturer said, sometimes its better to use the gui.