You don’t need to unzip the file before moving it to the Pi. In fact you probably shouldn’t.

I setup RetroPie to have a samba share so that it would like a windows share. That’s how I transferred the gz file to mine.

Once you have it there, just run these three commands

tar xf custom_kernel_1.20150619-1.tar.gz
cd custom_kernel_1.20150619-1
sudo ./install.sh

The first command unpacks the file into a new directory.
The second changes into that directory
The third installs the kernel