Different Linux Distributions have different ways of installing software.
A generic way is to use a TarBall, which includes the source files for the program. You have to compile the software so you can run it.
Uncompress the file using tar(1)
Change to the uncompressed directory
Run the configure script. This sets up a MakeFile which enables the software to compile and run on your system.
Build the program
Change to the SuperUser
Install the software
Close the terminal
Redhat and Mandriva use the Redhat Package Manager (RPM) to install and maintain software. Programs are released as binary files in an rpm package.
To install:
Change to the SuperUser
Install the package
Other options
Mandriva also has the urpmi tool to manage packages and dependancies.
apt-get install packagename
Look perhaps at the graphical tool 'synaptic' first.
installpkg packagename.tgz
One page links to InstallingSoftware: