When you download an app it is tarred and zipped. To run it you first need to unzip, then untar it.

In a terminal window you type:

gunzip NeXT_Appname.tar.gz

then:

tar -xvf NeXT_Appname.tar

Your computer certainly has the tar program, but you might not have the program gzip (which understands the command gunzip). If not, you can get it here (you have to untar it with tar -xvf gzip.tar). Source code for gzip is available from prep.ai.mit.edu.