First You have to install checkinstall
$ sudo apt-get install checkinstall ( Or Install from synaptic Package manager)
Download the source file, such as example.tar.gz and extract it.
$ wget http://www.example.com/downloads/example.tar.gz
( Or use any common method you have used for download a file)
Now Extract the tar.gz file (it will automatically create a folder with first part of filename)
(for getting # prompt type sudo su and give your password)
#tar -xzvf example.tar.gz
Now it creates a deb file and the package will install automatically.
See the man page more details about checkinstall , please man it.