pclinux uses synaptic to install apps, if the app you want is not there you can do a package request so this app can be added to synaptic
if that is not possible(add the app to synaptic) and you decide to install it by hand this is a risk for your installation(security and stability)
this kind of files can come as a installer/binary file but the general rule on linux is give you the files, compile them and create a binary file on your system using libraries and other resources required that are available on your installation
this procedure is complicated if you never done any compilation or programing, another reason to ask the app in package requests
the tgz file is just a type of compressed file similar to .zip so when you extract it what you do is create a folder and extract the contents of the compressed file
you mention a ./configure but you haven't mentioned what files you can find there, the contents of the folder or if when you open the files in a file explorer the icons of any of those files looks like a binary file that doesn't need to be build/compiled
there should be a manual inside the folder that can let you know how to proceed, what does it say, what system requirements/resources ask? any specific version of a app to compile, a library?
the link you posted is exclusively to use in console but to decompress a file you don't have to use cli only
ark or any other app can handle tgz files and create a folder, to call konsole when you are in dolphin you can press F4 key and it will load a konsole in the bottom of the screen in the same folder you are