When you download a linux program on line, what steps are needed to get them running.

Hi,
I am trying to get started. I loaded Ubuntu 9.04 and updated on line. The programs seem to be working great. My problems stem from trying to download other programs to use for ham radio. I operate packet and psk31 and need good terminal and waterfall programs. I downloaded some but can't figure out how to make them run.

When you download a linux program on line, what steps are needed to get them running. I know it must be simple for the experienced user but I don't know what to do.

All comments and suggestions are welcome.