I'm not sure what is in the tar archives, I suppose it is a collection of several required debs. So, you should unpack the tar archive first (this is the commandline version):
tar vfx lazarus-0.9.30-i386.deb.tar
That should get you all the installation debs in the curent dir, you need to install the file which has "lazarus-ide" or something like that in the filename, using the command:
sudo dpkg -i <filename>.deb
Other required packages should get installed automatically if they are present in the current dir or by apt. I think you should also download the fpc tar in the mentioned sourceforge download area, since it is also needed for lazarus.
The GUI way of doing the same would consist of opening tar archives in the designated GUI archiver from the file manager, then extracting them somewhere, and open unpacked .deb files by the gkdebi program (if installed), or the Software Center (in Ubuntu 10.10), and then install.
Now that we've covered that, why installing debs maually when you can get everything automatically using the apt repository?