it depends what its compressed with.
im assuming its a rar because thats the most common format. if you dont allready have linux rar installed, get it from here http://rarlabs.com/download.htm
thre are two ways of doing it. first, from the command line:
rar x nameoffile.rar
using this method, you will be prompted for the password when it needs it. the password will not be echo'ed to screen, so if its a long complicated password, you might want to use the second command, which is....
rar x -p yourpasswordhere nameoffile.rar
the first way means you get prompted for your password, but cant see it when you type it in. the second way means you dont get prompted for your password and can see it when you type it in.
if its another compressed format, please advise as to what type of file it is. if you dont know what kind of file it is, use this command:
and that should tell you what the file is (or at least give you some kind of idea).