Nagios can be installed in two ways. The first one is to install Nagios from your Linux distribution's binary packages, which has the upside that the packages are updated in terms of security issues by your Linux distribution automatically or by running updates manually. The downside is that for many distributions, Nagios 4 may not be available for some time, such as long term support distributions that may be providing the Nagios 3.x version.
Another option is to compile and install Nagios manually. Manual installation is recommended for system administrators who want more power where their software is installed, and want to manage software upgrades and configuration on their own. It also allows updating to latest version of Nagios faster; binary distributions may not always have the latest versions.