1. you can download and install linux on your mac. Just make sure you have your copy of os-x handy if you want to put it back on.
2. you can open tar.gz in linuz easily. they;re an archive file, like a zip or rar format
3. You can only run some .exe's in Linux. They are generally windows files, so to run them in linux you need to use an emulator like wine
4. to learn how to use linux, spend time on your distro's website reading the docs and looking for similar questions to the ones you have on the distro's forums. If you have a unique question then post on the forums and someone will help you.
Linux is fun if you are prepared to put in the time to learn it.
Things to get your head around:
Package manager - repositories - dependencies
Sudo, SU, Root
File system
Terminal
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