I've gone to this link http://ftp.gnu.org/gnu/wget/ and downloaded different versions, but I have no idea how to actually unpack it.
You don't need to download it. Take a look at their source code repository and read everything using your browser. Here's main.c for example. More details available at How to Access the Wget Source Code Repository.
tar.gz is a common extension for files that have been "tarred" ("tape archive", using the "tar" program), and "gzipped".
Most Linux systems come with these pre-installed, so you can extract the files using something like this:
tar xf wget-1.13.tar.gz
In Windows, use some unzipper program such as 7-Zip, WinZip, or WinAce or use tar from mingw/cygwin.
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