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.
Related: tbz tarball gzip zip