Files with a .tgz extension, such as extension.tgz, are tarballs compressed with gzip. They can be extracted using tar by running gnu's tar command in this fashion:
tar -zxvf extension.tgz
If you don't have a Unix-like system or Cygwin, you can still extract files from a tgz archive. WinZip may be able to handle them (DKF - Yes it does...).
Another program called QuickZip does gzip'ed files IIRC. Note: Netscape often will gunzip .tgz files without letting you know, so tar -xvf extension.tgz may be all that's needed. .tar.gz is used more commonly in some circles.
Winrar can also handle tar and gz on windows.
The sdx utility has some knowledge of tgz files, there's a "tgz2kit" conversion command, and "ratarx" which can be used to get rid of duplicate files (ratarx stands for "reverse actions of tar x"). See "sdx help tgz2kit" and "sdx help ratarx".
DKF: The ".tgz" is a contraction of ".tar.gz" to deal with the limitations of old MS-DOS/Windows systems.