I'm trying to install wesnoth.org game on Ubuntu. I have saved the file to my machine but don't know what to do now since it is in a
sudo apt-get install wesnoth-1.8
at the terminal will install Wesnoth. As user4124 suggested in the comment below, the best option is to find it through the Software Center. Plus it's very easy that way.
I assume that you downloaded the source of The Battle for Wesnoth and you prefer it to the already packaged versions for Ubuntu. The source needs to be compiled to create executables, so you need to compile it before you can install it. To compile and install it you can follow these instructions which are copied here for convenience:
See http://wiki.wesnoth.org/CompilingWesnoth for more information.