I run 'make' but nothing happens

I'm a complete newbie - my hard drive crashed and I
took the opportunity to switch from Windows to Linux.
I've had no training, no reading, and I know no experts
near me. I managed to get red hat 8 installed on the
5th try and here I am. I've administered Windows
networks for 5 years and worked on Windows systems for
8 years. I'd like to move away from M$, but I really
need some step-by-step help. It's greatly appreciated.

What I'm trying to do is this:

1. Download and update rdesktop from the rh8 version to
the latest version. When I say newbie i really mean it.
I've downloaded the rdesktop 3 to my
/home/kashi/Downloads folder. I've unpacked it to
/home/kashi/Downloads/rdesktop3/rdesktop folder. Now
what? I'm used to M$, where I double-click a setup file
and click next 20 times and run the program.

2. Connect directly to my windows xp computer at work.
normally I can do this by connecting to

remote.mydomain.com:8041

I connect to port 8041 instead of the regular terminal
server port 3389 with the M$ RDC (RDP5). Is there a way
to do this with rdesktop? With any version of rdesktop?

3. Get out of full screen mode? I connect in full
screen mode and can't get out of it without
disconnecting. I saw something that said ctrl-alt-enter
would do it but that didn't work for me when running
the rh8 version of rdesktop.