Short answer see if it is in the repos first, if it is install that version.
Long answer it depends how the package has been built.
To start the install open a terminal cd to the directory you downloaded it to.
Then tar zvxf name of package, once it has unpacked, hopefully with no errors.
The cd to the new folder created and look for a readme or INSTALL file and
read it for further instructions.
If you want it system wide then use sudo in front of the command when you
install it, whether it be make ./install etc.