People typically install one OR the other, but not both LILO and Grub. Which distribution are you using? During the installation of your distribution you will typically install GRUB or LILO, unless you are installing something like LinuxFromScratch, but in that case the manual would walk you through the compilation and setting up of these boot loaders.
Otherwise, you should decompress and untar the file, assuming it's a gzipped tarball of source code:
tar xvzf filename.tar.gz
And then change the newly created directory and read the README or INSTALL file: