Many programs come in source format, often in tar.gz form. First, you must unpack the tar.gz file; for details on doing this, see section 10.3.1 on page . Before you can compile the package, you'll need to have gcc, libc6-dev, and other relevant ``-dev'' packages installed; most of these are listed in the devel area in dselect.
With the appropriate packages installed, cd into the directory that tar created for you. At this point, you'll need to read the installation instructions. Most programs provide an INSTALL or README file that will tell you how to proceed.