best way to install non debian package

[François]

Hello, 


        What's the best way to install package which are not(yet) in debian
        package format or in the current distribution ?

        For example, I need pilot-link > 0.10.0 to use with palm m125
        but have no deb package.

        In which directory may I install it ?
        What's the Debian philosophy ?


        Thanks  

                François