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Answer:

Linux is not like Windows in that there is no standard .exe installer. 
Software in linux comes in different types: 

tar.gz - works with any and all distros 
rpm - for RedHat-based machines, although SuSe and Mandrake also use them 
deb - for debian-based machines 

I'll now describe the standard procedure for installing tarballs and rpm 
types of packages. You will probably (usually) have to be root (super user) 
for each type. 


tar.gz:
 
In a terminal or console, change to the directory where you have the tar.gz (tarball). 

Code:

cd "directory_name"

Type "tar -zvxf filename.tar.gz". You should see a whole bunch of messages 
scrolling up the screen. That's good. Those are files being extracted from 
the tarball into a directory that the tarball created (basically unzipping the file). 

Code:

tar -zvxf filename.tar.gz


Change to the new directory that was extracted from the tarball. 

Code:

cd filename

Now type "ls" and there should be a file called README or INSTALL. 
If you open this file with your favorite text editor, it should give 
you detailed instructions on how to install the program. 

Code:

ls

MOST tarballs follow the same procedure for installation 
(ALWAYS check the README first though). The general procedure is to type 

Code:

./configure 

make 

make install


RPM:
 
RPMs are similar to tarballs except that they include dependency checking. 
That means that if you're installing software X.rpm, and X requires software Y, 
X will not install until Y is on your system. To install an RPM file 
(assuming your system supports RPMs...it might not) use the -i option: 

Code:

cd /dir/where/rpm/is 
rpm -ivh software.rpm 

One of the big advantages that RPM has over tarball is that it includes 
an easy to use uninstall feature. To uninstall an RPM use the -e option: 

Code:

rpm -e rpmpackagename 


Now let's say you have software version 2.1.2 installed, and 2.1.3 is released 
that has some amazing new features that you MUST have. You can upgrade your 
existing software. To upgrade use the -U option 

Code:

rpm -U newversion.rpm