Jaaks, leave the tar.gz files, you don't want them on an Ubuntu system. If you want to install software, make sure you either use your package management system, like others before me have said, or make sure you download a .deb file, and install it with a program on your system called GDebi. GDebi can install .deb files, and makes sure that your package management system knows about them (this is very important!!). As an aside: don't use the "dpkg" command unless you know what you're doing.
For more information on installing software and package management, read the "Installing Software" page on the Ubuntu Community Documentation.
Also, I suggest you read an article called "Linux is not Windows", which should help your transition to Linux. From a random forum post discussing the above article:
[Users] believe all their previous computer knowledge should be transferable and applicable to a new computer operating system, and when it is not, the fault in their view is not in their attitude, but rather the fault is in the computer operating system developers for not designing a system where they can transfer their knowledge seamlessly. Don't get caught in that trap.