Unpacking lz, xz or bz2 files

[Peter Clark]

I have been given an out of date "idiot's guide" to downloading a file from your site.

It tells me to download a file called "gmp-5.0.1-tar.gz  and unpack it using "tar xzf gmp-*.tar.gz"

I can only find gmp-5.1.3.tar.lz, gmp-5.1.3.tar.xz and gmp-5.1.3.tar.bz2
none of these get unpacked for me.

I am trying to set up a COBOL facility under windows,

Can anyone please help me with an unpacking string for at least one of these files?

Thank you, peter clark