Install on Ubintu 12.04 - NOT

Download the Linux version from the Arduino website. Unpack it in your home directory somewhere. Navigate to that directory and run the arduino shell script program there. It should run fine. It does here. If you use the GUI, it will ask if you want to open or run it. Select run.

You can't move the shell script because it is directory dependent, so if you want it on your desktop, create a link and move the link to your desktop.