And Welcome to LQ!
If Plex that you downloaded is in the form of a 'tar.gz' ; a tar ball you will need to extract it.
After you extract it you will be able to install it but most tar.gz come with a 'Read Me' file or a "INSTALL" file.
Read the file; it will assist you with instructions on how to install Plex.
How To install a tar.bz file; Ubuntu:
A article in regard to Plex may be helpful too:
Hope this helps