You will need a program that can extract gzip-compressed tar archives for your system. Mac users can use recent versions of StuffIt Expander; Windows users should be able to use recent versions of WinZip. There is a program called "Opener" for NeXTs that will also work (which actually calls gzip and tar to work).
There is an Amiga program called "UnTGZ" available from Vapor Software (http://www.vapor.com/software/); I have no idea what the license is for this program (and haven't used it).
Alternatively, you can obtain the GNU gzip and tar programs for your current OS. On Aminet (for Amiga users), you should be able to find these in devel/ade, util/gnu or util/arc. Older copies of these tools are in the "tools" directory at Erlangen and its mirrors.