First of all, let me say it’s always best to install with the Ubuntu software centre or Synaptic (still my personal favourite). But if the package is only available for download on a certain website, for example MySQL Workbench, you must download the deb file (debian package) and install it by yourself. Open a terminal and execute:
sudo dpkg -i downloaded_package.deb
You will probably get errors about missing packages (dependencies) now. Execute:
sudo apt-get -f install
You’re done! The debian package is now successfully installed with all its dependencies!