Not a wee bit lost. Turn around. I'm building a Linux from Scratch system and that is the only one I would seriously use a tar.gz file for -- generally. Most of them are source code. And on that system. In the nineties it made sense to use this format because most people who used Linux used Unix in the lab and they could handle the dependencies and had to get these programs running at home and at work. Not hard when you do it yourself. These days we have distros who handle dependencies for you. If you are using Ubuntu, Mepis, Linux Mint or Debian, you want a .deb package which you can either get from synaptic or from the people who gave you the .tar.gz file. If you use a red-hat derived os you want an RPM file (though I'm told both Suse and Mandriva which are red hat derived have developed their own formats. For slackware if it isn't in the distro you probably do want to compile it yourself but you are advised to get a slackbuild file.
So what distro are you using, did you check your repository for the package, and install their version? Do that first. doing a tar -xvzf to your tar.gz file and following the INSTALL instructions -- can be vvery dangerous I've ruined a few installations by not following them CAREFULLY enough -- and is usually obsolete anyhow. It should be a LAST RESORT.