gz file to shapefile..

Hi, I am trying to get a shapefile of precpitation data from
http://water.weather.gov/precip/download.php.

The extention of downloading data is gz and looks like it contains shapefile in it,
but I cannot extract the file.

I tried 7zip but what happens is just a small window opens for a second and it disappears.

I do not want to pay for Winzip not knowing if it is going to really work.

Does anyone have an idea how to open this file??

Thanks