It depends ...
"gunzip" or "gzip -d" to unzip a gzip'd file,
unless it's a *.tar.gz file, then you can use "tar zxvf " which will unzip and untar your file,
unless it's a slackware package, in which case you probably want to do an "upgradepkg".
How to install the new kernel is really too complex to get in a quick e-mail reply, but here's a hint ...
Before you untar the new kernel sources into /usr/src/, move the /usr/src/linux directory to /usr/src/linux-2.2.19, then create a new directory /usr/src/linux-2.4.18 (or whatever) and then create a symlink called linux to the new directory. This will help you keep your kernel source directories straight, but still follow the expected kernel location rules. Finally, cd into the new source directory and read all the text files.