ya got to remember,
tar z(unzip) x (extract) f (filename) v (verbose)
should be
tar z(unzip) x (extract) v (verbose) f (filename)
tar -zxvf ethereal-0.9.11-i686-1.tgz
and then the uncompressing would work.
Now, for the installation:
I would cd into the install directory and read the INSTALL or README file with VI or VIM and go from there.
Or, disregard all that and go to
http://www.linuxpackages.net/details.php?name=ethereal
and download a binary for your linux distribution.