Hi, *.tar.gz are just standard compression formats, but what you need to know, either by looking at what you uncompressed or by getting information from the place where you got the file, is what are the uncompressed contents? Are they binary file(s) or are they source code file(s). If they are binaries you can likely run them right away, or you could put them in a standard binary directory like /usr/local/bin and run them from there.
If they are source files, things that end with .cpp and .h, you will have to do a compile. Usually there are instructions available in the uncompressed files. A fairly standard procedure for compiling and placing the resulting binaries in the correct directories would be issuing the following commands (from the directory containing the uncompressed files):
3) make install
You'll see a fair bit of that if you stick with Linux!