Please see this:
http://www.tt-forums.net/viewtopic.php?p=848718#p848718
If you use opengfx, and the tar file is also using the opengfx directories, you only have to untar the opengfx tars, and put the files in the data directory mentioned in the link.
If you use opengfx, and the tar file is using the 'old' grf-name directories, like trg(1)r etc, then you need to untar the tar with the sprites and rename it to it's opengfx equivalent, like ogfx1_base (and you can tar it again if you want). You also need to untar the opengfx tars.
If you don't use opengfx, and the tar is for the old dir-name, you don't need to do anything, it will work out of the box
And if you don't use opengfx, ant the tar has opengfx paths in it, untar it (and delete it!), and rename the directories to the old names.
In other cases, the sprites won't appear.
All this mess can be prevented if the tars would have been packed with a symbolic link between the directories (or individual sprites, can't remember exactly), which is very easy to do on Linux, but I don't know if it can be done on Windows.
http://www.tt-forums.net/viewtopic.php? ... 3&p=708618