It is just a compressed binary file. If you right-click on the file it will
offer to Extract it. Linux does not have executables in the same way that
Windows does (no exe files). Any binary file or script can be made
executable by changing permissions.

Once you extract the files you will need to use sudo to become root and then
copy the files to the proper directory for firefox. Mine is at
usr/lib/firefox-3.6.3/

Yours may say something different as my version is different. It should have
a file called firefox.sh

The easiest way to do this is to use a terminal to launch nautilus as root.
Open a terminal and type sudo nautilus

Then navigate to your folder where you extracted the files. Copy everything
and navigate to the usr/lib/firefox-x folder and paste everything in. This
will replace the old with the new.

This is not guaranteed to work. I have never done this (mainly because I
have never needed to). It may cause compatibility prblems with other
settings for firefox which are spread across several folders such as in etc
and usr/share.

You can also run firefox.sh from your extracted folder but flash and other
plugins may not work.