Hello Battery,
if a program is not part of the repositories, the next step is to look up whether there is somewhere a .deb file or not.
Another option is using a ppa;
perhaps you can search for something like "peerguardian ubuntu" or something similiar, and perhaps you will find a ppa (i.e. a seperate source for the packet managment system) ; be aware of ppas with proprietary software. But if you install only the free program, there should be no danger of using proprietary software.

Last option is to compile the program. It's really an exception. During normal computing, this is not necessary. Before compiling, you should make sure that you have the build-essential and g++ installed.
With your program, a

sh autogen.sh
autoreconf
./configure
make
sudo make install

should do the trick. Precondition is you have downloaded the source code.
git clone git://peerguardian.git.sourceforge.net/gitroot/peerguardian/peerg
  uardian

You need git installed for this:
sudo apt-get install git.

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