en la pagina que mencionas, tenes las instrucciones para instalarlo.
Cita: * Download the installation program (cnxtinstall.run)
* Open a terminal window. (If you don't know how to do this, press ALT-F2 and in the dialog box that will appear, try entering one of the following commands: xterm or konsole or gnome-terminal)
* Use the cd command to access the directory where the cnxtinstall.run file was downloaded.
* Finally, enter the sh cnxtinstall.run command to run the installer.
Basicamente, dice:
Abrir una terminal.
Ir hasta el directorio donde bajaste el archivo.
Ejecutar: sh cnxtinstall.run
Saludos