it takes a couple of programs: tar and gzip. (if it is a tar.bz2 then its tar and bzip2 ).
from a shell:
tar -zxvf program.tar.gz
if you use kde it comes with a program called ark that will unzip it for you
if you use gnome it uses file-roller for extraction.
I should note that most (as in virtually all) tar.gz files are not programs but source directories. you have to compile them in order to run the program. If your looking for ready-to-go programs, you need rpm's (for fedora and other rpm based distro's) which are precompiled packages you install on your distro.
Head over to the fedora forum on this board to learn how to set up yum for fedora. It will make it easy to get and install programs precompiled and ready to go.