Installing applications on a Linux machine needs a little more care than on a Windows machine. In the Windows world, pretty much everything is automatic. The program knows what to do, the installation process is pretty much automatic and you won’t face problems most of the time.
In the Linux world, on the other hand, most of time, you need to know what you’re doing. You need to understand the package you’re installing. You need to understand your compiler. You need to know where your files are going to end up after the installation. And there are a lot more things you need to take into consideration.
I found a compilation guide written at ffmpeg.org as part of their Wiki. It can be used as a general guide to compiling any application on a Linux machine. It assumes that you start from the source code and do pretty much everything yourself. I think it’s a good place to start learning about compilation (well, the best one I’ve come across so far). If I find a better one, I might edit this post. Or if you have already found a better one, please share it in the comments. Thank you!