Most of the packages on this site are distributed in '.tar.bz2' format. This means that they have been compressed using the 'bzip2' compression program, a patent-unencumbered algorithm that usually outperforms gzip, compress, and zip compressors. The bzip package is part of the official cygwin distribution (you installed the 'bzip2' package when asked by the setup program, right?). So, bunzip2.exe should be sitting in your /bin directory.
So, to install the precompiled packages on this site, all you need to do is type:
cd /
bunzip2 -c <path-to-archive>/foo.tar.bz2 | tar xvf -
or just
tar xvjf <path-to-archive>/foo.tar.bz2
which calls bunzip2 "behind the scenes"
That's it!