if you have a .tar.gz
file use the following command:
user]$ tar xzvf <filename>.tar.gz
The parameters are x to extract files, z to filter through gzip for decompression (leave this off if the file does not have a "gz" extension), v for verbose mode so you can tell what's going on, f indicating there will be a filename to follow.
This will not normally install the software, you can then read the README or INSTALL file for installation instructions.