Hello,
If you are using RedHat, the basic packages (think setup images, setup.exe) is the RPM file, or RedHat Package Manager.
To install something, you would in the simplest case, type in:
rpm -i my.redhat.package.name.with.numbers.rpm
and it will install the file, or notify you with a list of dependancies, or things that you have to install first.
You might also need to do a rpm --update package.name.rpm if you have the package already installed, but want the new version.
Linux uses a lot shared libraries within the OS, and they come from all over the place, so it is not as simple as installing a Windows application, where all the dll files are "shipped along for the ride".
If you have YUM working, the installation is a lot easier:
yum install package-name
and it will go out on the internet, grab all the dependancies, and install the new package for you. But you need to configure YUM to do that.
You will need to patiently walk though the documentation, and will need to learn the style, and also learn to THINK instead of asking for the standard instructions. There is a pattern to it; I am not sure how to explain it.
Finally, if the source code is available, you can compile and install your own programs.
Perhaps the best thing to do here is for you to tell us what you are trying to install. Give us your type of Linux (GenToo, RedHat, Fedora, FreeBSD) and the name of the thing you want. We can walk you through an example to get you on the way.
Christian