Ok, when asking these sort of questions it's always useful to specify what distro of Linux you're using. For now, I'll assume that your using something RPM-based (Red Hat, Mandrake, and I think SuSE and Caldera).
It's not usually necessary to re-compile your kernel when installing Linux software. Typically, you only need to do this if some new driver or low-level stuff (say, network firewalling) is needed. That is the good news.
Normally, if you have a RPM=based Linux, your first stop for any software should be http://www.rpmfind.net/ or http://www.rpmfind.com/. At those sites, you can search for RPM packages of software. If you find what you're looking for, you download the .rpm file, su to root and install it with
rpm -Uvh thingy.rpm
There are two complications that might arise here. The first is that you might get an error message saying that your version of RPM doesn't support tpackages with major version numbers greater than <thing>. If this is the case, you need to download an up-to-date version of RPM from one of the above sites (seach for 'rpm') and install that like any other RPM file.
The second complication that can happen is that the package you're installing may rely on other packages that you don't have installed. In this case you need to go back and search for the things you're missing, and install those.
<plug>Debian is much better at this, and does it all for you.</plug>
Unfortunately, there doesn't seem to be anything called 'audiogalaxy' at rpmfind (I'm guessing it's not free software), so you're stuck with the .tar.gz file from their website. That is the bad news. I would recommend going for the statically linked version, if you don't mind the extra download time. It's less likely to give you problems with libraries.
Download the file, put it somewhere and open it up with
tar -xfvz thingy.tar.gz
This will extract the files in a way similar to a .zip archive. It'll almost certainly create a subdirectory for them to go in. 'cd' to that directory and look for files called 'README' or 'INSTALL', and follow the instructions. If you have any problems, post again here :)
HTH
AEF