If you got binary copies of the software, you can skip this section. If, on the other hand, you got sources, you must compile. Read any README files, read the Makefile and look for places to edit. You may have to make changes to an include file or the Makefile to enable an option that you want. For example, the NCSA httpd server has an (almost) undocumented feature called 'XBITHACK', which allows server-side includes for any file that is executable. (This may be cool, it may not. But if you don't look, you won't know).
Make the program. Most likely, you type make linux. Look at the log file (you did save a log file, didn't you?) for messages that indicate that all didn't go as smooth as you would like. If all looks OK, move the new executable to the correct place. (The README file should tell you what to do).