installing on linux

[Mac Martine]

hello-
 i just ran gunzip on the binary distribution i got from mysql.com ( 
mysql-3.23.33.tar.gz ).

The 'mysql_install_db' cannot be run because it has a '.sh' ending on it. Actually 
many of the files in that same folder have a '.sh' ending. (mysql_install_db.sh) 

Why is this, and what do I do!?

THANKS-
 Mac