how to run a setup and install downloaded files

don't work?what type of files you download it should be .deb so you can install your files.Other that could be installed are .tar or tar.bz2 or tat.gz which the last three must be uncompressed first and then install them with ./configure make make install.
the easiest way is to download .deb packages.

An easy way to uncompress (decompress?) .tar.gz files, or "tarballs" is to right click on them and choose "Extract here".
A folder of the same name will appear in the same directory.

·Now open the terminal - Applications -> Accessories -> Terminal
·Change directory into the extracted folder (tab auto-completes the name of the folder if you find it too long to type)
·Issue the following commands:
         ./configure
          sudo make
          sudo make install

.tar.gz is a compressed folder. Like .zip and .rar in Windows.
You can simply extract them in another folder either by running:
tar xvf <filename>.tar.gz in the console, or by opening them with an archive manager, like "File Roller" or "ark" which your system will probably allready have installed. You just have to double-click the archive and then extract it by drag and dropping the files/folders somewhere.
Also, about the tar command. You want to use "man tar" to learn more options, since there are many ways to extract a .tar.gz archive.

You will need to install checkinstall first; check install does not always work.

Code:

sudo apt-get install checkinstall
./configure
make
sudo checkinstall

In linux it is better to use one of your package managers to find and install stuff for you. There's one in

Applications - Add/Remove Applications

unlike the Windows equivalent this one does actually install stuff and it has a handy search feature. Another one is

System - Administration - Synaptic Package Manager

this has 2 search tools, i prefer the button because it hunts through package descriptions as well as titles so i can be a lot more vague. The password it asks for is just your normal user password, not your SuperUser/Root one.

There is another one on the command-line which both of the above gui's use to do the work. They all do about the same thing and use the same search places and also keep track of what is on your system already using the same tools. You'll probably find you don't need those downloads now!

Oh, a page that might help is
https://help.ubuntu.com/community/SwitchingToUbuntu/FromWindows#Differences%20between%20Ubuntu%20and%20Windows

Good luck and regards and welcome to linux :)) from
Tom :)