Well the tricky part about installing a program is most of them differ from each other.
A tar.gz file usually starts out like this:
# tar -xzvf /name-of-file-here-to-unzip
This should place all the unzipped files in a new directory usually named after the file name.
Then from there, you want to search for a README or INSTALL text file and that will give you all the necessary info to make your install.
Other than that, any site with a download most likely has questions and answers for installing the program your installing and downloading.