There's normally a "readme" or "install" file in the archive. Open these up in a text editor and follow the instructions.
Most of the time you untar and move the files to where you want them, then as root in terminal
# ./configure
# make
# make install
But read the readme to make sure, and make sure you have the dependencies taken care of.
There's really quite a few really decent linux games that most people don't know about, and they don't cost a thing, besides download and installing time. You might also try to run a few of those small downloadable windows games available at different websites, occasionally you'll find one that works fine with wine. I download the games over at
http://game.giveawayoftheday.com/ and find that a few actually work!
Edit: Excuse me, I just reread your post, didn't realize you weren't familiar with using tar files.. In most distros you can right click on the archive, choose action and choose to extract.. If you're using terminal, then issue
gzip -d filename.gz
tar xvf filename.tar