What distro are you using? Every linux distribution has the proper way to install packages. In general, there should be some repository where you can find the precompiled packages for that distribution. If you don't find the package you're searching for in the repositories, the only way is download the source code and compile it yourself, but this could be complicated for a newby.
Please, check in the package manager of your distribution if you can find the precompiled packages (in Fedora 10 for example indi is provided in te standard repos as "libindi"), or try a search in http://rpm.pbone.net/ for "indi" or "libindi" for your distribution. Mattia
