Linux is a very complex operating system but is incredibly flexible.  The method of installing stuff is also different.  In linux common server extentions for installing are :Sh, tar,tar.gz and the very advanced RPM file.  Some programs will also have a file called makefile or configure.  Most programs have instructions for installing.  Below says how to uncompress these files and use them.

RPM-Developed from Redhat.  They are probably the best and easiest type of compression for linux.  The advantages of RPM is that when you download an RPM file, they will tell you what dependancies you need which you can easily install, upon installing an RPM file, it automatically upgrades any previous versions of that program and they place the files in the right places always.  I suggest decompressing these from X-Windows (type startx at command prompt).  Generally if you right click on the file, there will be a program to decompress it.

tar/tar.gz- Tar files are similar to zip files.  They dont hold much information except the files.  These are inferior to RPM's and are generally used for programs that still need compiling (find out why not all files are compiled later on).  tar.gz is just normal tar files which have been gunziped as well.  Any files that you find on the net with a .gz extention is usually a unix or a linux file.

Sh-These types of files are shell scripts.  Very similar to microsoft batch files (*.bat) but can support much more complex instructions.  When you click these files in X-windows, they wont open but will just say they are shell scripts.  To run these, type sh filename.sh from command prompt or terminal if you are in x-windows

makefile. - These files are make scripts and are used for compiling. to run these, type make.  Although, if there is a configure command, you usually need to run that first.

configure - This file is generally used to make a makefile.  To use it type ./configure

There are many other file extensions in linux but these are the main ones that you should be worried about because these are used to install stuff.