Configure script
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Much free software and OSS you download comes in source form. You have to build it yourself to actually run it. Once you've unpacked the source code, you usually cd into its directory and run (in order) the following three commands:
./configure make make install
That first line is executing the configure script that the developer(s) so kindly provided for you. It's responsible for customizing the makefile so the other two commands will work properly.
TroubleShooting
It is quite typical for beginners that configure stops with errors. Usually, this is because you do not have all packages installed that are needed to build the software. If configure complains, install the development package that it cannot find. In the following example, the development packages for xorg are missing:
$ ./configure [...] checking for vsnprintf... yes checking for snprintf... yes checking for X... configure: error: Can't find X includes. Please check your installation and add the correct paths!