From what I have read, you can install .rpm files (similar to .exe files). You should always try to install apps via your software/package manager first.
If the software you require is not available in your repositories, you should then try and find it as a xxxx.rpm file.
Finally if it is an app that you must have and it's not availble other than as a tar.gz, it's time to start learning how to install from source.
Search this forum for installing from source or something similar. There is an excellent how-to on doing just that.