If you want you can do it as root and have it install in a system wide area, great if you have multiple people that use the same machine and want different settings, other wise you can simply install it some were in your home directory.
Come back if you need any more help
once its installed, if you do it as your own user, you should simply be able to cd into the direcotry you installed it in (like say ut2004 in your home) and there should be a executable (shell script) called ut2004, when your in there simply type ./ut2004 and it should start the game up for you. If it errors, let me know.
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