tar.gz is a compression technology normally used by non-Windows platforms. While setting up your Ubuntu installation (the latest Ubuntu version these days is 9.10) you may need to download numerous tar.gz files. Before installing these files you’ll need to extract them.
Start the Terminal window: Applications -> Accessories -> Terminal
Go to the folder where you have saved the tar.gz file. It is preferable that you save this file in the folder where you want to extract its contents. Once you are there, at the command prompt execute:
sudo tar xzvf the-file-you-downloaded.tar.gz
That extracts the contents of this tar.gz file.