First of all, are you using an rpm enabled distro (RedHat, Mandrake, JAMD) and is it the correct rpm for your distro?
There are 2 ways to install it:
first go into a console and type "whereis gzip" minus the quotes - it may come back with some locations. In which case, gzip is already installed. so:
cd to the directory with the rpm
type the root password
type rpm -Uvh gzip* -- this is to upgrade it
(if it isn't installed, type rpm -ivh gzip* -- this iis to install it
open the directory in Konqueror/Nautilus/etc, double click the rpm, and type in root password when prompted.