Okay, You all told me that i needed a HARD DRIVE installation of knoppix to be able to install programs i download off the net. I have successfuly done so. now whats the next step?

lets say i download this file:
http://mupen64.emulation64.com/files...64-0.3.tar.bz2

i opened it with ark, dumped it into a folder.
i clicked on what Looks like an executable file and nothing happens. is there some additional commands i need to input or what? (mind you i am a windows user so im probably missing something thats very basic to you linux users)
please help.