Downloading the tools you need
To decompress CFZ you're going to need UNCFL created by Jari Komppa (the guy who invented the CFL/CFZ file format). Luckily It's freeware, and I've uploaded a version for you that you can snag from Here. It also includes MAKECFL, which you'll need for creating CFZ files.

Preparing for decompression
Unzip the tools above to C:CFL (if you wish to use another folder, submit C:CFL in future for your full path).

In my computer, navigate to C:CFL and create a New folder.

Creating the folders
Name this new folder Components. You need to create this folder as the program supplied does not automatically create folders if they do not exist (and will not extract files unless they do).

The CFZ file contains a whole directory structure and the components files are in Components.

After you have created this new 'Components' folder, double click it to enter it and create yet another new folder. Name this new folder Styles.

We're going to uncompress Components.cfz in this example. Copy it from the Robot Arena 2 folder into the C:CFL folder that UNCFL is in.

Entering Dos Prompt
UNCFL is a Console application. It does not have an interface, and you must run the prompt to use it

Click the Start Button and then click Run. Type in cmd and hit enter. A black box will appear. This is the Command Prompt.

Entering the CFL directory
To use UNCFL you must enter the CFL directory. Type cd c:cfl into the command prompt and hit enter. The prompt will change to 'C:CFL >' to show that the command was successful

Uncompressing the file
Finally we are ready to uncompress the CFZ file. Simply type in uncfl components.cfz and hit enter.

The screen will scroll a list of files that it has extracted and uncompressed from the file. You will now find these files in the Components and Styles folders you created previously.

Other notes:
You can use this program to uncompress any CFZ file. Simply copy a different .cfz file instead of components.cfz to the UNCFL directory and use the correct UNCFL command (eg. if you want to uncompress d1pack.cfz, you'd use uncfl d1pack.cfz).

If you find that files do not exist, check the list that scrolls down. It will give a hint as to the folders you need to create in the CFL directory. For example, If you recieve the message "WARNING: Unable to save 368 bytes as BadExample.txt", you need to create a folder called Bad, while "WARNING: Unable to save 368 bytes as GoodBadUgly.txt" would mean you need to create a folder called Good in the CFL directory, and a folder called Bad in the previously created Good directory.