Oh I see,

Take the following steps(I faced the same issue on Ubuntu 10.04.1 LTS and the following workaround did the job)

1) Open Terminal and navigate to the location of the file download.
2) type the following and hit enter

file KKI.001.002.tar.gz

If the file has been correctly download the output of this should be:

sharad@xnat:~/Desktop$ file KKI.001.002.tar.gz
KKI.001.002.tar.gz: POSIX tar archive (GNU)

if the output is not the above then that suggests the downloaded file is curropt(Problem is in the file header) and it needs to be re downloaded.

3) Now untar KKI.001.002.tar.gz with the following command at the command prompt

tar -xvf KKI.001.002.tar.gz

----

The file should now begin to extract in the Folder KKI/ in the current directory.

Hope this Helps,