Normally, installing a new application is no more difficult than double-clicking an installer and hitting Next a few times. For those very rare occasions when an app's source code is all that's available, Wired details how to compile it yourself.
Photo by artonice.
As the post acknowledges, it's not a comprehensive guide, since some apps are build using very different tools, and they don't all work the same (particularly on Windows). That said, it's a good starting point, and worth a read even if you're just interested in how some apps go from hand-written code to compiled binary executables. (I said interesting, not necessarily exciting.)
Do you ever compile from source? When and why do you do it? Share your experience in the comments.
Compile Software from Source Code [Wired How-To Wiki]