Go into phpmyadmin and click the query link in the lowerleft corner. Then go to the import files tab and upload the gz file.
A second way to do it is extract the .gz file and open the extracted file with notepad. Then copy everything and paste it in the phpmyadmin query window and run the query.
A third option is doing this right from the command line if you are using mysql on linux.
The reason I gave three ways is the first sometime won't work with some compression methods, the second works only with a database that isn't to big, the third would work in all cases.