It's because it's not a tar file. It's a tarball, or by other means, a gzipped tar file. Here's the direct link:
After downloading it, untar it with tar -xvzf cpuburn_1_4_tar.gz.
Enter into the extracted files directory: cd cpuburn-1.4
Then compile. Just type make
To stop the load, type "ps aux | grep [and the name of the program, e.g. burnMMX]" to find out the PID of the process causing the load.
tokico 6642 18.0 22.7 257592 116968 ? Sl 21:42 8:41 /usr/lib/firefox-3.0.6/firefox
tokico 7048 0.0 0.1 3240 808 pts/0 S+ 22:30 0:00 grep firefox
The PID is the 1st number after your username, in my case (firefox) is 6642. Then, to kill, type "kill 6642" or if it doesn't kill, "kill -9 6642".
Hope you understood.