tar.gz is a common extension for files that were "tarred" ("tape archive" using the "tar" program) and "gzipped".
Most Linux systems come with these preinstalled, so you can extract files using something like this:
tar xf wget-1.13.tar.gz
On Windows, use some unpacking program such as 7-Zip, WinZip or WinAce, or use tar from mingw / cygwin.
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