It's quite likely that you obtained XFree86 as part of a Linux distribution, in which case downloading the software separately is not necessary. Or you may be able to get RPM binary packages built for your machine, in which case you can just install those using rpm(1). In either case you can skip this the rest of this section.
The Linux binary distributions of XFree86 can be found on a number of FTP sites. On the XFree86 site they are here. You will want either the Linux-axp-glibc21, Linux-ix86-glibc20, or Linux-ix86-glibc21 subdirectories, depending on your processor type (axp=alpha, ix86=Intel 80x86) and Gnu C library version.
Before doing anything else, download and run the `Xinstall.sh' shell script first. This may tell you about prerequisites you'll need to have in place before continuing your installation. Complete instructions for installing the XFree86 binary distribution are at http://www.xfree86.org/4.1.0/Install2.html.
The binary directory should contain release notes for the current version in RELNOTES. Consult those for installation details.
All that is required to install XFree86 is to obtain the above files, create the directory /usr/X11R6 (as root), and unpack the files from /usr/X11R6 with a command such as:
gzip -dc Xbin.tgz | tar xfB -
Remember that these tar files are packed relative to /usr/X11R6, so it's important to unpack the files there.
You need to make sure that /usr/X11R6/bin is on your path. This can be done by editing your system default /etc/profile or /etc/csh.login (based on the shell that you, or other users on your system, use). Or you can simply add the directory to your personal path by modifying .bashrc or .cshrc, based on your shell.
You also need to make sure that /usr/X11R6/lib can be located by ld.so, the runtime linker. To do this, add the line:
to the file /etc/ld.so.conf, and run /sbin/ldconfig, as root.