Your first step will be to locate and download the sources that you want to compile. They'll probably be in a single archive with a trailing .tar.gz, tar.Z, tar.bz2, or .tgz extension. Go ahead and download the archive with your favorite browser or ftp program. If the program happens to have a Web page, this would be a good time to visit it to familiarize yourself with any installation documentation that may be available.

The program you're installing could depend on the existence of any number of other programs that may or may not be currently installed on your system. If you know for sure that your program depends on other programs or libraries that are not currently installed, you'll need to get these packages installed first (either from a binary package like rpm or by compiling them from their sources also.) Then, you'll be in a great position to get your original source file successfully installed.