I've always had trouble with this. In windows there is just a setup.exe file that I click on, but in Linux it seems that there is no such thing like that. I am trying to download filezilla right now, and I extracted it from the bz2 file, but I don't know how to install it now.
When installing a common piece of software on a widespread distribution, you'll probably be better off using the system's package manager than installing from a source tar. On ubuntu,
sudo apt install filezilla
or, for the GUI version, select 'Ubuntu Software Center' from your Applications menu; type 'filezilla' in the search box, and then click on the filezilla icon.