dont download .tar,.bz2 etc they are meant to be source compiled.for eg,like in ur windows xp,how do u feel if ur given .dll files instead of a .exe? rpms and debs are the packages in Linux.dont go searching softwares in source format as does with windows.read below thread may be helpful to you.
how to install "xmms-1.2.10.tar.gz" on ubuntu ??
http://www.thinkdigit.com/forum/show...72&postcount=4
Dont try those source given from digit.its just illogical for eg;how it'll be if u get those .dll files,diffrnt config things etc wholesale to ur hand
instead of installshield setup or simply "setup.exe"-the same thing in linux/unix are those gzipped(.gz) or bzipped(.bz2) source files;for eg:ur xmms source!.
So the thing is there are very good package managers which can fetch you and install software without searching internet like in windows.for eg: Debian or Ubuntu have apt and dpkg doing a wonderful job.for redhat/fedora .rpm is there,yum is there etc.
So never try those outdated source and if possible any source packages,get ur package manager works for you!
for eg:in GNOME menu after Applications and Places,there is another menu called System which contains administration menu>in which there is synaptic manager.give ur local user password when prompted.
Do read below article very informative for Windows Users too:
http://linux.oneandoneis2.org/LNW.htm