There used to be a popular tutorial for beginners about this titled How to install ANYTHING in Ubuntu!, however it has not been updated since 2006 and it is a bit outdated (some of it still applies though).
It has probably been four years since I last installed Linux from scratch. It isn't that I haven't touched a Linux command prompt or system in four years, it just that all of my installs are on my servers which just get updates applied. I decided to install Ubuntu Linux the other morning on an older Dell laptop I have replacing Windows.
A small guide on how to install packages while sitting behind a proxy server. I've explained the installation through the UI based Synaptics Pacakge manager instead of the normal apt-get commands.