FinalMix is a multiplatform application. Although the application behaviour should be the same (or almost the same) on all supported platform, the apperarance, installation and especially the compilation may differ.
If you have a precompiled version of FinalMix, the installation should be rather simple. There is no installation program or script needed. Just copy the binary file (i.e. fm on Linux, FinalMix.exe on Windows) to any directory you preffer and run it. The suggested locations are c:\windows, /usr/local/bin (for system-wide installation on Windows and Linux) and the user's home directory for user-specific installation.
The precompiled binaries are usually build statically, or at least statically against wxWidgets (so you just need GTK on Linux, but not wxWidgets, and nothing extra on Windows).
This also applies to all other unices.
If everything went OK, the produced binary is fm.