How do I install software that isn't in the "store"?

I know this probably isn't a thing that has a one size fits all solution but I've had a few programs that aren't in the store and I'm not sure how to install them. As an example I'm trying to download Python and get a .tar.xz. I think this is a zip because I can extract it and there's an install.sh in there but running that doesn't seem to do anything?
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