Firefox 1.5 comes with YDL 5 which I managed to install

quite an chievement for me.
But I dont understand how I install applications. I can download Firefox 2.0 and I can becuase its easy extract it to a folder. But there is no indication in the extracted folder of which icon is the 'setup' icon. Whatever I click it either does nothing or opens up a text file.
I know 1.5 is fine but I would like to know how you actually 'run' or install a linux application install.
Could be the start of something.....