I am getting very frustrated trying to install any programs whatsoever?
Obviously I dont know what I am doing. I need help!

a little more information would be helpful...

are you installing from source, binary, rpm?

I have tried several differant applications.
One I think is a binary, it is a .bin
Another I think is an RPM
I managed to hose my whole system the first time I tried to install an mp3 player.
It wouldnt boot passed runlevel 4, it said something did not exist.
So I reinstalled from scratch.

Which distro eg RedHat/Mandrake/Suse?
For rpms (assuming your system is rpm aware)

rpm -ivh filename.rpm - to install
rpm -Uvh filename.rpm - to upgrade an extant rpm
rpm -e filename.rpm - to remove (erase) and installed pkg

Incidentally, don't use files ending in .src.rpm for now.

For files like .tgz, .tar.gz
tar -zxvf filename.tgz - to extract contents
Make sure you create a new dir first and put the .tgz file in there before doing this, as they create a lot of files. Then after the extract, read any Install/Readme files to see what comes next.

For .bin files, make sure they have executable permissions (use 'ls -l'), then ./filename.bin should install it.

NB: You should be root to do installs as a rule.

HTH