Others have hit the likely cause: The archive is probably too big for Windows to handle on a FAT32 filesystem. I would double check that you're using the latest version of the software you're trying to extract it with, though, just to be sure -- if it's more than a few years old, it's possible it can't handle >2 or >4GB files regardless of whether you're using FAT32 or NTFS.
I wanted to clarify something else for you, though:
linodevirgin wrote:
I dont know why they put 1 TAR inside another TAR.
They don't. .tar.gz isn't one extension -- it's two. This is a "gzipped tarball".
tar is an
uncompressed archive format originating when the primary way of moving lots of data around was magnetic tape (
tape
archive). These days, in practice, it doesn't do very much besides copy the contents of all your files into one big file, usually with the extension ".tar".
Then a compression program -- typically gzip (.gz) or bzip2 (.bz2) -- is used to compress
that file (though typically on-the-fly, rather than writing out a .tar and then compressing it separately).
From the perspective of winzip/winrar/7zip, what you've got is a tar file inside a gzip file, and that's exactly how they present it. It's not very user-friendly, but it's technically correct.