The following link gives the basic info on installing software in linux.
There is also another, smarter, way of installing software. Use apt (with its GUI interface called synaptic) to search for the software you want, download it and automatically install it. It allows you to upgrade your whole linux distribution, upgrade software etc. The great thing is that it takes care of all the dependencies (other software necessary for installation of the one you want) for the software you want to install. Really smart.
For apt/synaptic for Redhat, see