Greetz.

open a shell command window, then su into root

Code:
 tar -zxvf nameof.tar.gz
this command above is the equivalent of unzip in windows (it uncompresses an archive)

then usually (but always read INSTALL file or README etc)

Code:
 ./configure
make
make install
you usually can do configure and make as a regular user and make install as root. But these are very generic questions and the INSTALL file or whatever it is called in each particular case will give detailed instructions and if you still don't know then ask.