Once you have the software, you most likely will have to 'unpackage' it, as most software comes as a compressed ( or gzipped) tar file. First look at what you have (zcat package_file | tar tvf -) to be sure that the files unpack into their own directory. Sometimes they don't, so you should make a directory specifically for the package and cd into the directory before umpacking (zcat package_file | tar xvf -). Your are now ready to compile.
Here are pointers to Web software, Servers and others: