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.
See also edit