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Before you begin you should ask yourself: Can my card and computer handle it? If you're unfamiliar, you can go to ubuntuforums.org and post your computer configuration (graphics card, memory RAM, processor and its MHz/GHz), ask them if they think is plausible to use visual effects.
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Secondly, make sure you have the appropriate (restricted) drivers for your graphics card (Nvidia NX7300GT in my case). You can install them by going to System > Administration > Restricted drivers manager and checking Enable next to your card. Be sure to restart your computer afterwards.
Next, we use a console (gnome terminal in Gnome, konsole in KDE) to install the compiz manager:
sudo apt-get install python-compizconfig
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enable the visual effects through System > Preferences > Appearance > Visual effects and select the Extra or Custom if your system supports it (see paragraph 2).
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Finally you can click on Preferences there, or System > Preferences > Advanced Desktop Effects Settings to have complete control over the plugins that are loaded. It may take you a while to get used to it.
Enjoy your new toys!