90% of the time compiling something in linux is more simple than a windows install you just need to type 3 commands:
./configure
make
make install

uncompress the archive you downloaded, either tar -zxvf if it's a tar.gz or .tgz or tar -jxvf if its a tar.bz2, then cd into the new directory that was created and type those three commands, the last one needs to be executed as root because it will copy the binary into your system directory somewhere in /usr and any needed libs.
so just either su to root or use sudo which ever you prefer.

If you have anymore problems feel free to ask.