they are compressed files type ::
tar -zxvf filename.tar.gz to extract tar.gz
tar -jxvf filename.tar.bz2 to extract tar.bz2
and usually they are source files for installing stuff, that is not always the case, but its most often true...and a typical procedure to take is to cd into the extracted directory and run::
su -c "make install"
this is not always the case, and thats why there is a README and INSTALL file usually packed with these so read them and see what you actually have to do to run/install whatever you may have...