Archived extension help

[Malikius]

I am trying to find out about how to unachive the packed file types and what programs used to unarchive them. Such as tar, etc. I can't figure out how these work. I am a Windows Vista(ICK) and XP user and am going to switch over to Linux as soon as it is released. But I am used to zips, and self-extracting .exe's. But, am having a system shock on how to double-click and have it put it in the directory that I want it to go in like zips and the like.

Please assist me with tutorials and all pertainent explainations.

Thanks in advance.

P.S. Please be advised that I am a noob and will need to have this put in as easiest terms as necessary.