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In general, you will get more effective help if you post your question where the people knowledgable would be looking for it and use a title that describes the problem. Posting an unrelated question in the middle of a different thread will get pretty random results and sidetracks the original thread. Maybe a moderator can help by turning this into a new thread or your could re-post as a new thread.
But to your question, a tar file is a form of archiving (multiple files aggregated into a single file). The gz specifies a choice of compression method (GZip). If you right-click on the file, there should be a default "open" option as the first choice, which will open the file using the "standard" program that has been designated for that file type. That is the same result as double-clicking on the file (double-clicking is just a fast method of opening the context menu and selecting the first choice). There is another right-click option, "open with...", that lets you select which program to use. This all applies to virtually any kind of file.
If you have ever tried to open a tar file with a program that does not know how to open these files, the system may have remembered that program choice and will try to use it any time you want to open a tar file. The solution is to either right-click and select a good program or go to the system setup and look for something named similar to "default applications". There, find the .tar or .tar.gz extension and tell it what program to use. I'm not sure which archive utility is bundled with Xubuntu. If you don't know, there is usually a setting in the applications menu to display the "generic" program name, which will be something like "archive manager", rather than the official program name which, in Linux, often give no clue as to what the program actually does.
If you can't identify an archive manager, just install another one using the software manager. Do a search on "archive" or "archive manager" (in the software manager), and choose one of the available programs. Ark is a good one and commonly bundled with various distros.
If none of that is the problem, there are two likely issues. The "tarball" (what a tar archive is called), could be incomplete, damaged, or corrupted. Try downloading a fresh copy, from a different source if possible. The other possibility is that the file you are trying to open has been assigned "root" permissions, meaning it is treated like a "system" file and you have to have root privileges to open it. This is typically the case when the file is system-related, like a driver or software, that is expected to be handled or installed by a program, untouched by human hands. It is also common in cases where manually messing with the contents could corrupt it. So make sure you need to open it before you do. If you are going to make any changes to it, copy the file and work with the copy.
If the problem is root permission, that is pretty basic to Linux (the Linux environment tends to assume that if you are using Linux, you either know what you are doing or are experimenting after having taken appropriate safeguards). If you don't yet know how to give yourself root privileges, it is probably a sign that you could easily get into a serious problem that you don't know how to deal with. If you are going to use Linux, this is something fundamental that you will need to learn, but take precautions like having a backup of your system and working with a copy of the file if you actually do need to manually open it.
The file type you have can also be called a .tgz file. That is, a tar file that's also been gzipped. You can either use a two-step process, by using gunzip to turn it into a tar file, then using tar to extract it, or just using tar by itself in one-step. Read the man pages on both the tar, gzip, and gunzip commands.