Konsole is a terminal. If you're a windows user you would be accustomed to a DOS window only a terminali in Linux is much more useful. Open Konsole and enter :

sudo /usr/local/bin/knx-hdinstall

'root' is the name of a 'user' - root has ultimate authority and can execute any command or install software or pretty much anything he wants to do. There is a lot more to it than that but this should be enough to get you started.