The Tarball (tar.bz/gz) is a Linux compressed archive, and all the files within are in the Linux formatting (UTF8 I think).
The Zipped version is for windows users who can use winzip or another archiving tool to extract the contents.
What's important here is that you have a decompression utility suitable for the file you download.
More information about these can be found in the url=http://xoopsdocs.net/modules/dokuwiki/doku.php?id=en:general:glossary]Xoops Glossary [/url]