Depending what program and "for what Linux exactly" the difficulty ranges from easy to impossible.

First see http://wiki.maemo.org/General_precautions

and in case you didn't read it through properly let me state again that installing programs from weird sources when you don't really know what you are doing is a phenomenally bad idea.

If it's python/perl and designed to work with GTK or Hildon (the graphics toolkit) or it's compiled for ARM (unlikely if it's just some randon package from somewhere) then you can just:

"tar -xvjf package.tar.bz2" in your home directory (in terminal) to extract the package and there should be a file named something like the program.

If it's a source distribution then you need to install the SDK on your desktop machine to compile it.