The easy way: repositories and packages
Some distributions include the library in their repositories, which provide the easiest way to install it and keep it up to date.
There's a list of available repositories in the Download page, along with instructions for their usage.
Installing precompiled packages is also very easy, as it normally just amounts at double-clicking the file you've downloaded.
Installing from sources
Before extraction, make sure you have the glib headers properly installed (version 2.8 minimum).
When you have the headers, open a terminal, enter into the directory where you downloaded the sources and type these commands:
tar -vxjf liblqr-1-0.4.2.tar.bz2 cd liblqr-1-0.4.2 ./configure && make && sudo make install
The last step requires that you have administrative privileges on your computer.
(If you're installing a different version than 0.4.2, just substitute the correct version number in all of the commands above).
Since version 0.4, the defualt installation location is /usr.
If you're developing using the library and want to install the man pages as well, you'll need to pass the option —enable-install-man to configure.
The name of the installed library is lqr1, see the documentation and the examples included in the distribution for usage instructions.
Just go back to the library directory and issue
sudo make uninstall
Mac OS X
The library is availvable via MacPorts.