Once you've downloaded the tarball extract it and run setup.py with install as the argument. Run python setup.py --help
for more detailed installation options.
tar -xzf linda-0.2.tar.gz cd linda-0.2 python setup.py install
On Linux this will install PyLinda to your Python packages directory, the linda_server.py script to /usr/bin and the documentation and examples to /usr/share/pylinda.