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gzip is a compression utility that is often used with tar to save transfer and download time. usually, you see packages as *.tar.gz - the gz being for the gzip compression. when you get the package, you run
tar -xzvf package.tar.gz
to decompress and untar it - it installs to a directory, usually. the 'z' option is for tar to run the tarball through the gzip filter first, which you don't have, and don't yet need. so, run
tar -xvf gzip-x.x.tar
to get it untarred, and then just follow the install instructions.
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