Hi:
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:
http://askubuntu.com/questions/25961...r-tar-bz2-file
A article in regard to Plex may be helpful too:
http://forums.plexapp.com/index.php/...n-ubuntu-1204/
Hope this helps