Example. Let\'s assume you Pi is running Debian. You want some program.
1- look in my sig, debain-armel packages, to see if that package exists in precompiled form for debian/ARM.
2- if it does, type apt-get <package>
3- if it doesn\'t, all is not lost, go to the package\'s website, and check in the Download section and Forum if they don\'t have a semi-official package. If they do, download it, and then its either uncompressing it (pretty much like in Windows) or installing it like with apt-get.
4- if they don\'t have binaries, then you still can get the package: get the source and compile it. I just did it for the first time 2 weeks ago, it takes 5 minutes to do, 1h to understand the first time with a friendly helper, and 2-3hrs without, with a few failed attempts ^^
4- if the package has neither ARM-compiled binaries or source code available, then you just crashed into a wall ^^