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7-Zip is a free utility that can quickly decompress TGZ files. It’s a good idea to download a .exe file of the most recent version (that isn’t a beta). Be sure to click the link next to the right version of Windows (32-bit or 64-bit). This opens the 7-Zip installer. 7-Zip will now install on your computer. Once the installation is complete, move to the next step. A menu will appear. An additional menu will expand. This tells 7-Zip to create a new folder (named after the .tgz file) in the current directory. The contents of the file will now extract to the selected location.  If the only file that appears ends in .TAR, double-click it to extract the remaining files. To select a different location, choose Extract Files… instead, then choose a location.

Summary:
Go to http://www.7-zip.org/download.html in a web browser. Click Download next to the correct version. Double-click the file you downloaded. Click Install. Right-click the .tgz file. Navigate to the 7-Zip menu. Click Extract to (Folder Name).