YOU DON'T!
Please bear with:
Mandrake provides a nicely integrated package management system that automatically downloads and installs just about anything you can think of.
If you wish to install a new program you should first see if it is available via the URPMI repositories.
However your system is not configured correctly "out of the box" to utilize these sources. You must do the set up first.
See:
http://www.zebulon.org.uk/
Follow the directions there for setting up urpmi.
After you've done so, then either use the "install software" gui or the urpmi command line to find, download, and install any software.
Normally everything distributed as .tar and .tar.gz is already available in the repositories already set up for your distribution, in such a way that it integrates completely with your desktop, etc.
In addition urpmi automatically will download and install any missing components (called dependancies) that are required to make the software you want to run, run.
ONLY IF the package you want is otherwise NOT available in the repositories should you try dealing with .tar.gz files.
In this case you will be unpacking these files and COMPILING the new application.
The problem is that these packages are fairly generic, and they don't tell you what they may need to run.
Also they may install something that will "break" other programs or system components.
So this should always be the last resort.