Linux: Download and install compressed package

1. Download package

Open terminal and run follow command:
wget url_of_compressed_file

2. Extract file

If it's tar.gz use
tar xvzf file_name.tar.gz

If it's a tar.bz2 use
tar xvjf file_name.tar.bz2

3. Go to extracted folder and run follow command

./configure
make
sudo make install