As a general rule, most programs you download will be a source code version. This means that you have to extract it, then configure it, then make it, and then finally install it.
This is normally done in the following steps.
[code:1]
tar -zxvf *filename*.tar.gz
cd *filename*
./configure --prefix=/usr // this is for kde apps
make
su
make install
[/code:1]
Depending of the size of the application, this could take from minuts to hours to days (on the stage of KDE).
As for adding the application to your desktop or your kde-menu, you normally have to do this manually, by opening up kmenuedit and adding an entry. Similar for desktop entries. For the executable field, just type the name of the program, such as 'kopete'.
Hth,
Seb