Rename the file.tgz to file.tar.gz then try to decompress it using:

gzip -d file.tar.gz

If this doesn't work then it's not a gzip compressed file. Keep in mind that tar usually does the archiving and another program is usually used for (de)compressing the archive. If you've tarred and gzipped an archive on a 64 bit OS, you'll have problems running tar -xzf on a 32 bit OS. If you're still having trouble, send me the file, I'll have a look.