see here for generalized compilation instructions.
https://help.ubuntu.com/community/CompilingEasyHowTo

However, it would probably be useful to know what your instructions in
the package suggested, as instructions differ based what the developer
provided in the file you downloaded.

In addition to unpacking the compressed file from the command line as
Leslie suggested, I think you can also move the file to a folder of
choice, right-click, and select "extract here".... But maybe I was
thinking of a different compression format. You can always try it.