The link below shows how to install RPMs in general.
You can TGZ files are usually archives created by the "tar" utility and then compressed using the "gzip" utility.
You can extract and uncompress the files in the tgz archive with the following command:
[root@foo tmp]# tar -xzvf filename.tgz
Most software vendors / creators will set up the .tgz archive to extract the files in a brand new subdirectory beneath the one the user is currently in. So for example, in the case above the files would be extracted into a directory beneath the /tmp directory. The directory would most likely be named /tmp/filename.
There should be a a "README" file in this directory with instructions on how to install your software. Each vendor / creator has different rules, so it is good to read this file first before proceeding.
Hope this helps.