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Some Magento extension providers are not affiliated with Magento Connect and they provide their extensions in .tgz format.

So long as these providers have followed the correct packaging methodology for a Magento Extension then there's a relatively pain free way to installed these extensions (for VPS and Dedicated customers).

As ever, backup your Magento install in the Hosting Control Panel before upgrading, adding or removing any extensions

Upload the extension in .tgz format into the root directory of your Magento store (the directory that contains index.php and pear), then login via SSH as the ftp user for the domain and run the following commands where EXTENSION.tgz is the name of the file you uploaded :

cd httpdocs
chmod a+x pear
./pear install EXTENSION.tgz

The built in Magento command line installer will then install the module as per the instructions in the extension.  If the instructions are incorrect then you may need the backup we created earlier!