 Quote by alxm
Right, they call it 'free as in speech', rather than 'free as in beer'. The freedom in question being the right to access the source code to the program and modify it as you like.
(Which you do have with Firefox as well, but it's not specifically GNU software, rather 'Open Source' which is the general term for any software where you can get and modify the source code. GNU is a subset of Open Source software)
Anyway. Getting and installing GNU software isn't necessarily different from other software. It depends on whether or not you're downloading the source code, or the binaries. The latter being just the executable program - in other words, the form you get most software in.
Some GNU software is available as binaries where you just download and double-click, others provide source-code, which you have to compile to binaries yourself and install.
As Greg said: Is it a Windows program or a Linux one (or both)? GNU programs are usually available for Linux (since it's a GNU-licensed operating system) but not always for Windows, and when they're available for Windows, they usually have a binary package for convenience. So if the program's available for Windows (or Mac) and that's what you're using, check for a 'Windows binaries' (or similarly named) download option.
If you're running Linux you should really be able to extract a tar.gz file from your desktop, after which there'd typically be a file named INSTALLATION or similar explaining how to install it. (although it may well depend on having some other things installed). Although typically, if you're running Linux you can often find binaries packaged for your Linux distribution available online as well.
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I have Windows XP. I was looking at two programs that looked interesting. The first one had .tar and other files, then it had another section of pre made up binary package, one for Windows, MAC, etc. It was meant to be a replacement of a paid program I've used. When I downloaded the pre made binary for Windows, it only had 2/3 of all the features the paid version does, along with not having the part that makes graphs for your statistical data. However, when I looked at what it said you need if you put it together yourself, it said, "Add this part if you want graphical abilities," etc. So I'm thinking if I put it together myself, I may have more features?
Then there's something about using cygwin, and then something about commands to put it together. I feel confused?