The title..It's a bit confusing.....If you download file from point&klik, it should intall automaticaly in your home directory and a menu will appear on your KDE menu, eventhough it's not appear in mine(I'm using kano).

If you mean compiling and install application from source code,then the procedure will be something like this:
1) Extract the source code to your temporary folder ( you could use ark ).
2) Open konsole and su
3) Change directory to where you extract your source code.
4) Run command: ./configure --prefix=/usr Some apllication don't need you to run ./configure. Make sure you read the installation readme first. You don't have to use prefix. I use it to make sure it will install in /usr/share, eitherwise it will install in /usr/local.
5) make
6) make install. You're done.
Not all application can be succesfull compiled this way.

I would suggest you try find debian package first before trying DIY.
Search here:http://www.apt-get.org/