If you want to skip compiling allegro, just use apt-get or aptitude to install allegro (aptitude install liballegro-dev).

Otherwise, you get to download and extract (tar zxf allegro-4.2.2.tar.gz) allegro to some directory. After that you can follow the install directions in doc/build/linux.txt.

As for compiling from the command line:

debug:
gcc -W -Wall -ggdb3 -pipe file.c -o program `allegro-config --libs`

release:
gcc -W -Wall -s -O2 -pipe file.c -o program `allegro-config --libs`

NOTE: those (`) are backticks, not quotes.

Its an O (the letter) not a 0 (the number)

-W and -Wall turn on warnings that you NEED to properly program.
-s tells gcc to strip all extraneous symbol information from the files (it cripples debugging, so don't use it on a debug build).
-O is the "optimization" flag, it accepts an integer from 0 through 9 (but only up to 3 happens to exist, and you don't want to use 3 in most cases), and the letter s to optimize for code size instead of performance.
-g tells gcc to embed lots and lots of debuging information into the code, and the generated object files and binaries, it takes a number of strings to tell it what format of debug info, I find gdb3 works the best, the most often, though stabs+ might work better for C++ (it used to, but it may not anymore, I dunno).

I typed g++ man instead of man g++ for some reason.

It's working now. I only have one more question, how do I compile multiple files?

By specifying more than one file on the command line.

That's not actually the proper way to do it though: the proper way is to compile each file into an object fie and then link the different object file together. That way you don't need to recompile all your source code all the time, just the source that has changed.
This is what Make can automate for you: you just have to tell it what object files to link and what source file produces what object file, and you're good.

The one file at a time command would look like so:

compile:
gcc -W -Wall -ggdb3 -c file.c

link:
gcc *.o -o program `allegro-config --libs`

Once you get into more than a few source files you may want to think about using makefiles or CMake (or scons for that matter). Makes things a lot easier.

Yup. Least till they package 4.4 or 5+