Ubuntu includes GNU tar, which recognizes the format by itself! One command works with any supported compression method, per the manual.

# The same command handles any compression format! Ex:

tar xf archive.tar.xz  # for .tar.xz files
tar xf archive.tar.gz  # for .tar.gz files
tar xf archive.tar     # for .tar files

etc. If tar gives a Cannot exec error, you may need to sudo apt install xz-utils first.

Several tar implementations (at least GNU tar¹, star and libarchive's bsdtar) already handle this compression format, you can either:

• Don't explicitly specify a format and let tar detect the compression automatically (with either gtar², bsdtar or star³):

  tar -xf node-v18.7.0-linux-x64.tar.xz
  

  Or if you like to watch the progress:

  tar -xvf node-v18.7.0-linux-x64.tar.xz
  

• Use -J/--xz (with GNU tar or libarchive bdstar) or -xz (with star) to tell tar to expect XZ

  tar -xJf node-v18.7.0-linux-x64.tar.xz
  

  gtar -xJf node-v18.7.0-linux-x64.tar.xz
  

  bsdtar -xJf node-v18.7.0-linux-x64.tar.xz
  

  star -x -xz -f node-v18.7.0-linux-x64.tar.xz
  

Without those specific tar implementations or with the standard pax command (tar has been removed from the UNIX standard as there were too many incompatibilities between implementations), decompress the archive with xz⁴ and then unpack the archive via a pipe:

xz -dc node-v18.7.0-linux-x64.tar.xz | tar -xvf -

xz -dc node-v18.7.0-linux-x64.tar.xz | pax -rv

^{¹ generally called tar on GNU systems, but often gtar or gnutar or gnu-tar on other systems if installed there beside the system's one.}

^{² with GNU tar, that doesn't work if the file is passed on stdin with - as the file name or if the file is no seekable in which case you need to pass the -J option.}

^{³ with star, that doesn't work if the file is not seekable in which case you do need to use the -xz option. tar -xf - still works as long as stdin is seekable.}

^{⁴ beware failures of xz may not always be detected in that case. Most Bourne-like shells now support the pipefail option from ksh93 which can help here; set with set -o pipefail.}

The z flag of GNU tar (which is the version of tar shipped with Ubuntu) is used to speciy that the archive being processed is compressed using gzip, which is usually indicated by the .tar.gz (or, more rarely, .tgz) extension. In GNU tar, it is an error to use the z flag if the archive is not compressed with gzip, as you experience now.

Archives using the .tar.xz extension are compressed with xz, and the corresponding flag in GNU tar is J. Hence, replacing z with J in your command should solve your problem. In addition, you may get a "command not found" error if the xz tools are not installed on your system, which can be remedied by installing the xz-utils package.

Alternatively, you can simply omit the filetype-related flag altogether, and simply use -xvf; in that case tar will attempt to autodetect the compression format by analyzing the file. (You can probably also dispense with the v flag; it just prints a list of the extracted files, which is not usually useful.)

cd to the directory where the tar.xz file is located the do tar -xf filename.tar.xz where filename is the name of the file. This will decompress it. Then you can go inside and follow the install instructions (such as running install.sh file inside it).

This is not good practice unless you know the implications of installing software this way, and trust the source of the file.

Decompress:

tar xf [filename]

This will expand the contents of the file to a folder. Then the commands are, from the folder:

./configure
make
sudo make install

This will compile the VLC source code, and then install it into your system. Because you are installing as root, this is why you must know that the source of the file is trustworthy.

To compile vlc, you need at least the following libraries installed:

• libdvbpsi (compulsory) ,
• mpeg2dec (compulsory) ,
• libdvdcss if you want to be able to read encrypted DVDs ,
• libdvdplay if you want to have DVD menu navigation ,
• a52dec if you want to be able to decode the AC3 (i.e. A52) sound format often used in DVDs ,
• ffmpeg, libmad, faad2 if you want to read MPEG 4 / DivX files ,
• libogg & libvorbis if you want to read Ogg Vorbis files .

You will probably also need to install the build-essential package to get a compiler and associated commands.

More details here

Use the -J compression option for xz. And remember to man tar :)

tar cfJ <archive.tar.xz> <files>

Edit 2015-08-10:

If you're passing the arguments to tar with dashes (ex: tar -cf as opposed to tar cf), then the -f option must come last, since it specifies the filename (thanks to @A-B-B for pointing that out!). In that case, the command looks like:

tar -cJf <archive.tar.xz> <files>

From the Ubuntu Site here.

tar -xJf wkhtmltox-linux-i386_0.12.0-03c001d.tar.xz

Should be able to do that with the built-in archive manager: Right-click>Extract>Extract archive here, auto-detect subfolder

Base R includes function untar. On my Ubuntu 19.10 running R 3.6.2, default installation, the following was enough.

fls <- list.files(pattern = "\\.xz")
untar(fls[1], verbose = TRUE)

Note.
In the question, "dataset" is singular but there were several datasets (plural) on that website. To download the files I used

args <- "--verbose rsync://78.46.86.149:873/dnmarchives/grams.tar.xz rsync://78.46.86.149:873/dnmarchives/grams-20150714-20160417.tar.xz ./"
cmd <- "rsync"

od <- getwd()
setwd('~/tmp')

system2(cmd, args)

xz is the most modern LZMA2 compression option, which apparently the Windows tar program does not support.

You should use another program that does support it, such as 7-Zip.

If the latest 7-Zip does not support xz, try its fork 7-Zip-zstd which supports more compression methods.