If it's off of one of your installation cds you can go through the Mandrake Control Center > software manager, rpmdrake. If it's an rpm you downloaded then you can simply double click on it or open a terminal and as root type urpmi name of package (you have to be in the directory where the program is located).
If it's a tar.gz then it's best to check the read me file because it "should" give installation instructions. But the norm is Extract, cd to new directory, in a terminal run ./configure, make and as root make install. I know that's not exact but if you have a tar.gz you're trying to install then tell us and we can walk you through it.
Hope this helps!