If you mean the .tar.bz2 file? then that is much like a .zip file on windows as there is no installer. There was in the past but it was actually more work and effort to explain to newer users how to do it.

You need to extract the .tar.bz2 file in a new folder in ~/username/ is a good place to not have to worry about read/write permissions.

tar -xjvf firefox-4.0.tar.bz2 cd firefox ./firefox -P

Or just create a desktop/panel launcher to the firefox script in Firefox folder.

the -P is to start with ProfileManager

Or until you get the basics of this (which you should if you plan to actually use Linux), you can always install the ubuntu supplied version of Firefox 4.0 in mean time. https://help.ubuntu.com/community/FirefoxNewVersion

James I really appreciate your help but I am not really computer literate so it would be a step by step for me.. I went to the link and like a fool looked but never found new version. Thanks I really hate Linux