If you are running a recent version of Debian (or a Debian derivate) or Ubuntu (including Kubuntu), you can install Thunar using apt-get (or an APT frontend like synaptic). If you are using Xubuntu, Thunar is part of the default installation.

You can use the following command to install Thunar using apt-get:

sudo apt-get install thunar

This will fetch the thunar package and all dependencies and install them on your system (note that the command must be run with superuser priviliges, hence the sudo prefix).

Now type Thunar or select Thunar File Manager from the menu to start Thunar.

Download the lastest release:

wget http://thunar.xfce.org/download/releases/beta1/Thunar-0.3.0beta1.tar.bz2
wget http://thunar.xfce.org/download/releases/beta1/exo-0.3.1.6beta1.tar.bz2

Install libexo from Ubuntu Universe repository to resolve any dependecies (maybe this step isn’t necessary):

sudo apt-get install libexo0.3-0 libexo0.3-dev

Install Exo:

tar xfj exo-0.3.1.6beta1.tar.bz2
cd exo-0.3.1.6beta1
./configure --prefix='/opt/xfce' ; make ; sudo make install
cd ..

Install Thunar:

tar xfj Thunar-0.3.0beta1.tar.bz2
export PKG_CONFIG_PATH='/opt/xfce/lib/pkgconfig:$PKG_CONFIG_PATH'
cd Thunar-0.3.0beta1
sudo apt-get install libxml-parser-perl
./configure --prefix='/opt/xfce' ; make ; sudo make install

Execute Thunar:

/opt/xfce/bin/thunar