That depends on whether you downloaded the source or the binaries. Either way, there should be a README or an INSTALL file that you can read. There may also be a directory called docs that has one of those files.
If you got source, the usual course is to do a
./configure
and assuming that works ok, then you do a
make
followed by
make install
There's a lot more to the configure, like options to configure with, but those should be in the README file.
If you installed the binaries, usually you find the executable and run it. If you do an ls -F the executable files will have a * behind them. Other than that, not really sure of another good way to find the executable.other than trial and error and rtfm. Most web sites you donwload from also have some readme style docs.