I originally had problems installing Graal onto my Ubuntu box but after I gave the file execute rights it worked fine from that point onwards...apart from lack of direct rendering but hey - on board graphics =P
To install on linux - first off download the linux client found here
http://graalonline.com/downloads/index.php
Save it to your desktop or home folder. The next part depends on your preferred method but for new users I would suggest using the GUI. Find graal4setup and right click it selecting properties.
Select the permissions tab and give the file execute rights for owner. If it already has the rights then don't worry about it.
Once that is done, double click to start the installation process. It should ask for a password. I suggest installing Graal system wide so use the root users password.
The install process should start and hopefully sucessfully complete. You should now be able to access Graal using either Applications-> Games-> Graal Online or typing 'graal' into a terminal session.
Running Graal on Linux is very similar to Windows. One noticable change is the use of a GuiControl for playerlist. This annoys me cause i like my playerlist outside my window =p. Otherwise it is all good.
Hopefully this will help =)