How to install software from terminal?

I was trying to install a software from the terminal. The software does not have a .dmg version. So I have to use "make install". I was denied because of the permission issue. I tried "su", but it did not work. Does anyone what I can do? Thank you very much!

Thank you. I think this partly solved my problem.
I was trying to install "xmgrace", a software for plotting with GUI interface. It is installed. But when I try to launch this software from xterm, the GUI does not appear. I guess things are different for os x and for a generic linux, and I did not configure the installation correctly.

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