The tar file contains the source code, not the program itself. Unpack the tar file anywhere convenient, somewhere in your home directory is fine, and read any README and INSTALL files present. these should tell you how to compile and install it. The first step of installing from source is usually to run ./configure. If you run "./configure --help" instead, it will show you the options and defaults. As davecs
says, programs compiled from source usually go in /usr/local, to keep them separate from programs handled by your distro's package management system.
Incidentally, you can get a Mandrake RPM of R 2.0 from
http://www.stats.bris.ac.uk/R/bin/linux ... k.i586.rpm
"Insanity: doing the same thing over and over again and expecting different results." (Albert Einstein)