Just to add a little additional info to what amdy said:
There are 4 main types of install packages you will find for linux,
.sh (sh installer, .sh is the installer script ex. sh install.sh) This type of installer will usually prompt you for different answers about your install.
.gz (g zipped file, can unzip with gunzip command) this is a compressed file, can also unpackage with tar -xzvf file.gz
.tar (tar archive file, can unpackage with tar -xzvf as well, but I think only -xvf is required but I always use the long version anyway)
.rpm (Red Hat Package Manager, basically a compressed automated install file, running the command rpm -i will uncompress and install, rpm -uvh will upgrade.
Most of the time if the file is rpm, then it is a pre-compiled binary file (similar to win exe components)
If the file is .gz, or .tar usually it is the source program that contains the components required for you to compile the program on your machine. If so, after you unpack the item you might notice a makefile, and a configure script. But even if you don't see those it still may contain the source, look for .c files to be sure. When you run ./configure from the install directory the makefile is custom tailored to the software on your system and if things go correctly it will warn you if there will be a problem. After that run "make" which will use the makefile to compile the source code, then run "make install" which will place the files in their correct places. This is only a general overview some installs have different instructions. Always look for the INSTALL file in the install directory.
to find the details of a command use "man command" ex. man gunzip.
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