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This is entirely distro dependant, you don't mention what you're using.
However, *.tar.gz files are usually source. If you installed via './configure; make; make install' then you have no package management, so unless the Makefile has an uninstall target, you'll have to remove all the files manually.
It's best not to use make install directly, try checkinstall to build a package for your distro.
Any package you install via rpm is under package management. That means that every file in that package is accounted for. You can remove a package with 'rpm -e <package>'. If you install via make install, then files are placed directly in the file system. You have no record of what package they belong to and you cannot uninstall that program easily. You might have to remove each file manually. This is the purpose of package management, to keep track of which files are in which package and provide a means to maintain/remove/upgrade those packages.
make clean is for removing object files and so forth in the source tree, it has nothing to do with files installed on the system.
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