So I've downloaded the .tar.gz file for Cave Story, and since I'm somewhat new to Ubuntu, I have no idea how to install it. 
I tried the commands suggested at How do I install a .tar.gz (or .tar.bz2) file?, but no dice.
My most successful attempt was make config.dat, which spat out a different error than make all the other files. So I assume that's what I should be going with? 
It says:
"make: *** No rule to make target `config.dat'. Stop." 
Do I type something else in?
 
     
     
    