It depends on what you're downloading. Sorry, I'm not familiar with the program you mentioned. There are basically 3 different types of files that you will get online for linux.
Package Files - These are packs of files, set to install on your computer, and are usually distribution specific. They often come with a .deb extension, but not always. They are by far the easiest to intall, usually you can just double click them and your package manager will install them for you.
Precompiled Binaries - These can be exectuable installers, or just the program itself, they will generally have an extension of .bin or .sh and can be run from the command line by typing ./filename (you will need to make sure that the file is executable, try typing 'chmod 700 filename' if it is not). These may come in zip or tar files, so look around for a .bin or .sh file in the directory if you're not sure what you downloaded. If it is an installer, and needs to install to a common directory (such as /bin) you may need to run the command with sudo, just be careful that you know what you're getting!
Source Code - Source almost always comes in tar files, and is a bit harder to give generic instructions for. They generally need to be installed from the command line, once you extract the tar, move to the directory, and you can start building. There are several different ways that it could go from here, depending on the files, and most places will have instructions on how to build, but basically, it *may* go like this.
The first thing you need to do if you are going to compile is run this command to install the most common programs needed for building programs:
sudo apt-get install build-essential make
Some sources have an auto config script in the source directory and can be run with: ./configure
Watch the output here, because it may give errors, or it may tell you you need to install different libraries. If it says, for example, you need libgtk5.0, you can simply type: sudo apt-get install libgtk5.0
and in most cases, aptitude will find and install the library. Sometimes you will need to open synaptic and search for the right one, the names are not always the same, and sometimes version numbers can cause problems as well.
If your source doesn't have a config script, or you've made it past that step successfully, you will then need to compile. While you're still in the directory you ran ./configure in, type: make
That will start the compile, and may take a while depending on the program.
Generally, you will need to install the compiled files afterwards, and again, if it wants to install to common folders such as /bin you may need to run the command with sudo: make install
Once the program is installed...
You have to figure out what the command is! It's usually fairly self explanitory, lets say you downloaded a file called superpaint-i386-2.0.5.tar.gz you can pretty much count on the binary being 'superpaint'. It's just a matter of finding it. If you had to run the installer with sudo, then you can probably just type 'superpaint' anywhere in a shell and it will run. If you ran the install without sudo, it may have put the binaries in the source directory, or may have made a subdirectory with the install files in it. Look for a new subdirectory named 'bin' or 'superpaint'. The installer will generally create all the files with the proper permissions, so 'ls' will show the files names in green if they are executable.
Now, there are plenty of other variables that may come into play, but for most of your source installs, this should get you through it. If it doesn't then the site that you got the program from will usually have the details of their specific install. If you have any questions, I'll try to answer them as best I can, hopefully, I've at least come CLOSE to what you were looking for. Oh, and if you have a link to the program you were using for an example, me, or somebody, may be able to take a look at it to get a better idea of what it is you're dealing with.
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