This differs widely for each piece of software, but there are a few common things you can do to find the right solution for the software you are trying to install...
If you have a file named "setup", "setup.exe" or something similar, this is probably an installer. If you open this file (by double clicking) it is quite likely that the installer will take you through the steps.
If you cannot find a setup file, try to locate a file named "README" or "INSTALL".
If the above steps do not work, try to find a website for the product and look for an "Installation" link.