First off, you may very well already have that version of Python installed. Python is widely used in many Linux distributions, and since Python 3.4 is the current stable version, it is safe to say that if you've kept up with your package updates, you may already have that version. Open a shell and type python --version and see what it says.
What Linux distribution are you using? Most distros have a package manager which allows you to download and install most software from within Linux itself. For Ubuntu, the package manager is Synaptics (actually, it's apt-get, but Synaptic is a graphical front-end for it); in Gentoo, it is Portage; in Red Hat, RPM; and so on. How you would use it depends on the package manager in question.
If you distro's package manager doesn't have a package for Python 3.4 yet, then you'll want to download and install the source distribution. The reason there is no pne-click installer for Linux is because Linux programs are usually distributed as source code; the groups that make the Linux distros create the packages from that. If you go back to the Python website, you'll find the source distribution packages. DOwnload that and follow the instructions for untarring and configuring it.