If you’re going to be compiling source code on a Ubuntu Linux box, there are certain programs you need that *aren’t* installed by default. The most important part is the compiler. You need at least a C compiler. You can install the C compiler using apt-get. Apt-get is a program built into Ubuntu for fetching and compiling and installing source code from the web. Your Ubuntu machine needs to be online to use it. (try this at a shell prompt: man apt-get )
To install the compiler toolchain, issue this command.

sudo apt-get install build-essential

When you find that you cannot use the program (say, rdesktop-1.5.0) that came with your linux distribution, you should try to build it yourself from source. This seems a pretty easy task for some, but remember the first time you encountered a filename.tar.gz file? Did you gunzip it first, wondering what you should do to extract your prize from this filename.tar file? Anyway, here’s a brief rundown of what you would need to do to build rdesktop-1.6.0 from source on a freshly installed Ubuntu Linux box. After downloading your source file (rdesktop-1.6.0.tar.gz), it should be in your home directory. We’ll assume that your name is Bob, OK?

cd /home/bob (changes to your home directory. You’re Bob, remember?)
tar -zxvf rdesktop-1.6.0.tar.gz (this will decompress and un-tar the source files)
cd rdesktop-1.6.0  (this changes your current directory into the extracted source directory)
./configure (this builds the Makefile)
make (make turns the source into a compiled binary)
sudo make install (this places the program onto your userland filesystem, using root privileges.)