First, make sure that the program you're trying to install is not in ubuntu repositories. In most cases it's recommended to install from the official repositories. Open Synaptic and try to find the program you want.
If you can't find it, is there a .deb package available for the program?
If not, the most generic instructions for installing .tar.gz would be:
tar xvzf *.tar.gz
sudo make install
EDIT: It's always important to read a README/INSTALL file included in the package. There may be some specific instructions for installation. Anyway, it's hard to say, what program are we talking about here?