when you untar those tar.gz files, they usually give you a new directory with a simplified name that has all the files in it, right? so what you do is move into that directory, then install the program. usually installing is done using some variation of the following commands:
# make install
(where the $ means you are user, and # means you are root.) it's not that hard, really. the newly created folder also usually always has an INSTALL and/or README file that gives the detailed instructions for installing that particular program.
>btw, what distro are you using? depending on the distro and the program, there are sometimes also other ways of installing things, e.g., using rpm/urmpi, apt-get/synaptic, emerge, swaret, etc.