It can depend on the distribution you're using. Debian-based distributions have a really nice package-system. You can basically install whatever you want in a single line.
Code:
$ sudo apt-get install <application_name>
The application will be downloaded and installed right away, without you have to do anything. You'll sometime have to change some small configurations. Apt-get has a so-called "source-file." This file includes names on servers having the different applications. If none of the servers have the application you're searching for, you'll probably have to find another server which has, or install it manually.
Oh, no, manually? Don't worry, it isn't as hard as it may sounds. If you're downloading the sourcecode for a application, you'll have to do three steps. The first is the configuration. You shall let it know what it shall install, and what not to, and where it shall be installed. The configuration differs alot from application to application, but the configuration of the destination directory is almost always the same.
Code:
$ ./configure --prefix=<destination_directory>
As default, if none prefix provided, it will be installed in /usr/local/application_name. For a full-blown list of features, you can use the --help flag.
Code:
$ ./configure --help
The next step is to actually compile and link the sourcecode. The automated compiling-program for the compiling program can differ from application to application, but the most used is make (other known alternatives include jam.)
The last step is to install and put all the compiled files in the right directories. Fortunately, the make-script will take care of that too. Remember you'll probably need to have root-access.
Code:
$ sudo make install
It can be somewhat harder to uninstall/remove an application again. If you installed it using apt-get, it is easy. You'll just have to do this.
Code:
$ sudo apt-get remove <application_name>
If the application had installed some other small packages itself, you'll have to auto remove them. This is not hard neither, and apt-get will take care of that too.
Code:
$ sudo apt-get autoremove
If you installed the application by the sourcecode, you'll have to remove the directory (specified by --prefix) where all the files were installed in. Some icons and other similar files for the application has probably been installed in other directories, so you'll have to do a little search for them. Anyways, here's how you can delete the directory.
Code:
$ sudo rm -r <destination_directory>
A last note; sometimes you can find some self-installing-applications, where you can simply double-click on them, like in Windows, but it's rare, and personally, I prefer to install by sourcecode. You get the complete control on what to install and what not to.