Yes, of-course. This is actually my preferred way of installing things. It is a little harder installing things manually, but I find I learn a lot more doing things this way.
You can get most packages installed and working on DreamHost, but in a few rare cases you will have to make small modifications to scripts etc. to conform to the DreamHost way of doing things.
It is probably easier if you specify the third party software you are interested in installing. I am sure someone on the forum will have already installed the package and will be able to help you out.
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