How does linux run programs?

[windos_no_thanks]

So, say I download a program off of the net, (a linux program) how do I actually run it? Do I have to compile it, or create a symbolic link or wat?

Depends on what you download. As Knoppix is Debian based you should use the Debian package management system (apt-get etc...) to retrieve and install the stuff. If it isn't available as a pre-compiled package you can get the source tarball instead, for most stuff something like this works:

tar -xzvf foobar.tgz
cd foobar
./configure
make
make install

(the make install part needs to be run as root) Notice that this would probably break the package management for that particular program so avoid doing it if it is available as a Debian package.