You can uncompress *.tar.gz file in Unix systems in the same folder with the file by runing the following command in the shell:
tar -zxvf file.tar.gz
or 2 command:
gzip -d ./file.tar.gz
tar -xf ./file.tar.gz

-where file.tar.gz - is your archive file.
In Microsoft Windows you can use, for example, 7-Zip free file archiver (http://www.7-zip.org/).